Exact estimation for Markov chain equilibrium expectations. (December 2014)

• Record Type: Journal Article
• Authors: Glynn, Peter W.; Rhee, Chang-Han
• Is Part Of: Journal of applied probability. Volume 51:Number A(2014)
• Page Start: 377
• Page End: 389
• Publication Date: 2014-12
• Subjects: Unbiased estimation, -- Markov chain equilibrium expectation, -- Markov chain stationary expectation, -- exact estimation, -- exact sampling, -- exact simulation, -- perfect sampling, -- perfect simulation; 65C05, -- 60J05; 519.2
• DOI: 10.1239/jap/1417528487
• Languages: English
• ISSNs: 0021-9002

Abstract

Abstract : We introduce a new class of Monte Carlo methods, which we call exact estimation algorithms. Such algorithms provide unbiased estimators for equilibrium expectations associated with real-valued functionals defined on a Markov chain. We provide easily implemented algorithms for the class of positive Harris recurrent Markov chains, and for chains that are contracting on average. We further argue that exact estimation in the Markov chain setting provides a significant theoretical relaxation relative to exact simulation methods.