Estimation of stationary densities for Markov chains. Glynn, P. & Henderson, S. In Medeiros, D., Watson, E., Carson, J. S., & Manivannan, M. S., editors, *Proceedings of the 1998 Winter Simulation Conference*, pages 647–652, Piscataway, NJ, 1998. IEEE.

Paper abstract bibtex

Paper abstract bibtex

We describe a new estimator of the stationary density of a Markov chain on general state space. The new estimator is easier to compute, converges faster, and empirically gives visually superior estimates than more standard estimators such as nearest-neighbour or kernel density estimators.

@inproceedings{glyhen98, abstract = {We describe a new estimator of the stationary density of a Markov chain on general state space. The new estimator is easier to compute, converges faster, and empirically gives visually superior estimates than more standard estimators such as nearest-neighbour or kernel density estimators. }, address = {Piscataway, NJ}, author = {P.~W. Glynn and S.~G. Henderson}, booktitle = {Proceedings of the 1998 Winter Simulation Conference}, date-added = {2016-01-10 16:07:54 +0000}, date-modified = {2016-01-10 16:07:54 +0000}, editor = {D. Medeiros and E. Watson and J. S. Carson and M. S. Manivannan}, organization = {IEEE}, pages = {647--652}, title = {Estimation of stationary densities for {M}arkov chains}, url_paper = {pubs/dens.pdf}, year = 1998}

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