Computing Densities for Markov Chains via Simulation
Published Online:1 May 2001https://doi.org/10.1287/moor.26.2.375.10562
References
- Applied Probability and Queues (1987) (Wiley, New York) Google Scholar
- Integrated variance reduction strategies for simulation. Oper. Res. (1996) 44:327–346Link, Google Scholar
- Correlation-induction techniques for estimating quantiles in simulation experiments. Oper. Res. (1998) 46:574–591Link, Google Scholar
- Convergence of Probability Measures (1968) (Wiley, New York) Google Scholar
- A Guide to Simulation (1987) 2nd ed.(Springer, New York) Crossref, Google Scholar
- Nonparametric Density Estimation: The L1 View (1985) (Wiley, New York) Google Scholar
- A Course in Density Estimation (1987) (Birkhauser, Boston, MA) Google Scholar
- Conditional Monte Carlo: Gradient Estimation and Optimization Applications (1997) (Kluwer, Boston, MA) Crossref, Google Scholar
- Gilks W. R., Richardson S., Spiegelhalter D. J.Markov Chain Monte Carlo in Practice (1996) (Chapman & Hall, London, U.K.) . Interdisciplinary StatisticsCrossref, Google Scholar
- Filtered Monte Carlo. Math. Oper. Res. (1993) 18:610–634Link, Google Scholar
- , Medeiros D., Watson E., Carson J., Manivannan M. Estimation of stationary densities of Markov chains. Proc. 1998 Winter Simulation Conf. (1998) (IEEE, Piscataway, NJ) Crossref, Google Scholar
- Simulation methods for queues: An overview. Queueing Syst. (1988) 3:221–256Crossref, Google Scholar
- Likelihood ratio gradient estimation for stochastic recursions. Adv. Appl. Probab. (1995) 27:1019–1053Crossref, Google Scholar
- Quantile estimation in dependent sequences. Oper. Res. (1984) 32:185–209Link, Google Scholar
- Regenerative steady-state simulation of discrete-event systems. (1998) . Submitted for publication. Also available from ⟨ http://www-personal.umich.edu/∼shaneioe/pubs.html⟩Google Scholar
- A central limit theorem for empirical quantiles in the Markov chain setting. (1999) . Working paperGoogle Scholar
- Control variates for probability and quantile estimation. Management Sci.44:1295–1312Link, Google Scholar
- Simulating stable stochastic systems; VI. Quantile estimation. J. Assoc. Comput. Mach. (1976) 23:347–360Crossref, Google Scholar
- Improved distribution quantile estimation. Comm. Statist. (1987) B16:307–320Crossref, Google Scholar
- Markov Chains and Stochastic Stability (1993) (Springer-Verlag, London, U.K.) Crossref, Google Scholar
- A batch means methodology for the estimation of quantiles of the steady-state distribution. (1998) . PreprintGoogle Scholar
- Multivariate standarized time series for steady-state simulation output analysis. Oper. Res. (1998) . ForthcomingGoogle Scholar
- Batch means methodology for estimation of a nonlinear function of a steady-state mean. Management Sci. (1997) 43:1121–1135Link, Google Scholar
- Nonparametric Functional Estimation (1983) (Academic Press, New York) Google Scholar
- Multivariate Density Estimation: Theory Practice, and Visualization (1992) (Wiley, New York) Crossref, Google Scholar
- Linear Regression Analysis (1977) (Wiley, New York) Google Scholar
- A batching approach to quantile estimation in regenerative simulations. Management Sci. (1982) 28:573–581Link, Google Scholar
- Approximation Theorems of Mathematical Statistics (1980) (Wiley, New York) Crossref, Google Scholar
- Nonparametric density estimation, prediction and regression for Markov sequences. J. Amer. Statist. Assoc. (1985) 80:215–221Crossref, Google Scholar
- Nonparametric density and regression estimation for Markov sequences without mixing assumptions. J. Multivariate Anal. (1989) 30:124–136Crossref, Google Scholar

