具有少量排放的HMM稳态量的估计

IF 0.8 Q3 STATISTICS & PROBABILITY Monte Carlo Methods and Applications Pub Date : 2022-02-15 DOI:10.1515/mcma-2022-2103

Az-eddine Zakrad, A. Nasroallah

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引用次数: 0

摘要

摘要我们建议应用重要性抽样和对偶变量统计技术来估计隐马尔可夫链（HMM）的稳态量，其中很少产生某些排放。与标准蒙特卡罗模拟相比，使用这些技术可以显著缩短模拟时间。数值蒙特卡罗算例表明了该方法的有效性和有效性。

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

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.

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来源期刊

Monte Carlo Methods and Applications STATISTICS & PROBABILITY-

CiteScore

1.20

自引率

22.20%

发文量