Estimation of steady-state quantities of an HMM with some rarely generated emissions-Reference-Cited by-同舟云学术

Estimation of steady-state quantities of an HMM with some rarely generated emissions

Published:2022-02-15 Issue:1 Volume:28 Page:27-44
ISSN:0929-9629
Container-title:Monte Carlo Methods and Applications
language:en
Short-container-title:

Author:

Zakrad Az-eddine¹,Nasroallah Abdelaziz¹

Affiliation:

1. Mathematics Department , Semlalia Faculty of Sciences , Cadi Ayyad University , B.P. 2390 , Marrakech , Morocco

Abstract

Abstract We propose to apply the importance sampling and the antithetic variates statistical techniques to estimate steady-state quantities of an Hidden Markov chain (HMM) of which certain emissions are rarely generated. Compared to standard Monte Carlo simulation, the use of these techniques, allow a significant reduction in simulation time. Numerical Monte Carlo examples are studied to show the usefulness and efficiency of the proposed approach.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/mcma-2022-2103/pdf

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