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Simulation Methods Based on Markov Chains
- Remarks
-
- An alternative simulation method is based on
- constructing a Markov chain
with state
space
- and an (appropriately chosen) irreducible and aperiodic transition
matrix
,
- such that
is the ergodic limit distribution of the Markov
chain.
- For sufficiently large
-
is approximately
-distributed
- and can thus serve as an efficient tool for the generation of
(approximately)
-distributed pseudo-random elements in
.
- Therefore one also uses the term Markov-Chain-Monte-Carlo
Simulation (MCMC).
Subsections
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Ursa Pantle
2006-07-20