Simulating tail asymptotics of a Markov chain

Aziz Khanchi and Gilles Lamothe

Statistics & Probability Letters, 2011, vol. 81, issue 9, 1392-1397

Abstract: 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.

Keywords: Rare; event; simulation; Time; reversed; Markov; chain; Jackson; network; Strongly; consistent; estimator (search for similar items in EconPapers)
Date: 2011
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