منابع مشابه
Perfect Sampling of Harris Recurrent Markov Chains
We develop an algorithm for simulating \perfect" random samples from the invariant measure of a Harris recurrent Markov chain. The method uses backward coupling of embedded regeneration times, and works most eeectively for nite chains and for stochas-tically monotone chains even on continuous spaces, where paths may be sandwiched below \upper" and \lower" processes. Examples show that more naiv...
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In this paper, we study parametric nonlinear regression under the Harris recurrent Markov chain framework. We first consider the nonlinear least squares estimators of the parameters in the homoskedastic case, and establish asymptotic theory for the proposed estimators. Our results show that the convergence rates for the estimators rely not only on the properties of the nonlinear regression func...
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Estimation procedures for nonstationary Markov chains appear to be relatively sparse. This work introduces empirical Bayes estimators for the transition probability matrix of a finite nonstationary Markov chain. The data are assumed to be of a panel study type in which each data set consists of a sequence of observations on N>=2 independent and identically dis...
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Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. In standard importance sampling schemes, the system is simulated using an a priori fixed change of measure suggested by a large deviation lower bound analysis. Recent work, however, has suggested that such schemes do not work well in many situations. In this paper we consid...
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Harris Markov chains make their appearance in many areas of statistical modeling, in particular in time series analysis. Recent years have seen a rapid growth of statistical techniques adapted to data exhibiting this particular pattern of dependence. In this paper an attempt is made to present how renewal properties of Harris recurrent Markov chains or of specific extensions of the latter may b...
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ژورنال
عنوان ژورنال: Pacific Journal of Mathematics
سال: 1959
ISSN: 0030-8730,0030-8730
DOI: 10.2140/pjm.1959.9.805