haku: @journal_id 112 / yhteensä: 1577
viite: 145 / 1577
| Tekijä: | Fishman, G. |
| Otsikko: | Markov chain sampling and the product estimator |
| Lehti: | Operations Research
1994 : NOV/DEC, VOL. 42:6, p. 1137-1145 |
| Asiasana: | MARKOV CHAINS SAMPLING PRODUCTS |
| Kieli: | eng |
| Tiivistelmä: | Several recent papers have suggested using a product estimator in Monte Calro Markov chain sampling for estimating the volume of a convex body, the permanent of a matrix and the distribution of first-passage time for a positive recurrent Markov chain. The present paper analyzes the properties of this estimator when each replication starts in an arbitrarily selected state. In particular, it describes a procedure for determining optimal warm-up intervals and optimal sample sizes to achieve a specified level of statistical accuracy at minimal cost. |
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