Title :
Estimation of stationary densities for Markov chains
Author :
Glynn, Peter W. ; Henderson, Shane G.
Author_Institution :
Dept. of Eng.-Econ. Syst., Stanford Univ., CA, USA
Abstract :
We describe a new estimator of the stationary density of a Markov chain on general state space. The new estimator is easier to compute, converges faster, and empirically gives visually superior estimates than more standard estimators such as nearest-neighbour or kernel density estimators
Keywords :
Markov processes; Markov chains; general state space; stationary densities; stochastic system; visualization; Computational modeling; Convergence; Kernel; Operations research; State estimation; State-space methods; Steady-state; Stochastic systems; Systems engineering and theory; Visualization;
Conference_Titel :
Simulation Conference Proceedings, 1998. Winter
Conference_Location :
Washington, DC
Print_ISBN :
0-7803-5133-9
DOI :
10.1109/WSC.1998.745046
