Simulating tail asymptotics of a Markov chain

被引：0

作者：

Khanchi, Aziz ^{[1
]}

Lamothe, Gilles ^{[2
]}

机构：

[1] Univ Ottawa, Sch Informat Technol & Engn, Ottawa, ON K1N 6N5, Canada

[2] Univ Ottawa, Dept Math & Stat, Ottawa, ON K1N 6N5, Canada

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 09期

关键词：

Rare event simulation; Time reversed Markov chain; Jackson network; Strongly consistent estimator; STABLE STOCHASTIC SYSTEMS; EXCESSIVE BACKLOGS; LARGE DEVIATIONS; NETWORKS; QUEUES; DECAY;

D O I：

10.1016/j.spl.2011.04.006

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper develops a rare event simulation algorithm for a discrete-time Markov chain in the first orthant. The algorithm gives a very good estimate of the stationary distribution along one of the axes and it is shown to be efficient. A key idea is to study an associated time reversed Markov chain that starts at the rare event. We will apply the algorithm to a Markov chain related to a Jackson network with two stations. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1392 / 1397

页数：6

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