Stratified Monte Carlo simulation of Markov chains
نویسندگان
چکیده
منابع مشابه
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Markov chains having the same stationary distribution can be partially ordered by performance in the central limit theorem. We say that one chain is at least as good as another in the e ciency partial ordering if the variance in the central limit theorem is at least as small for every L( ) functional of the chain. Peskun partial ordering implies e ciency partial ordering [25, 30]. Here we show ...
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ژورنال
عنوان ژورنال: Mathematics and Computers in Simulation
سال: 2017
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2016.12.004