In this paper, the conservative Monte Carlo error estimation methods and theory developed in Geyer (1992a, Statist. Sci. 7, 473-483) are extended from univariate to multivariate Markov chain applications. A small simulation study demonstrates the feasibility of the proposed estimators.
A Monte Carlo Estimation of the Entropy for Markov Chains
β Scribed by Didier Chauveau; Pierre Vandekerkhove
- Publisher
- Springer US
- Year
- 2007
- Tongue
- English
- Weight
- 429 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1387-5841
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