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Approximating Martingales for Variance Reduction in Markov Process Simulation
Variance reduction Markov process simulation martingale
2015/7/8
“Knowledge of either analytical or numerical approximations should enable more efficient simulation estimators to be constructed.” This principle seems intuitively plausible and certainly attractive, ...
Zero-Variance Importance Sampling Estimators for Markov Process Expectations
Importance sampling Markov process simulation
2015/7/6
We consider the use of importance sampling to compute expectations of functionals of Markov processes. For a class of expectations that can be characterized as positive solutions to a linear system, w...
Driving noise of a finite state Markov process
Driving noise a finite state Markov process
2009/9/23
Driving noise of a finite state Markov process。
Dynamic and Structural Features of Intifada Violence: A Markov Process Approach
Bayesian conjugate prior Israeli-Palestinian conict marginal likelihood
2009/9/22
This paper analyzes the daily incidence of violence during the Second
Intifada. We compare several alternative statistical models with dierent dynamic
and structural stability characteristics while ...