Estimation of Stationary Densities for Markov Chains


We describe a new estimator of the stationary density of a Markov chain on general state space. The new estimator is easier to compute, converges faster, and empirically gives visually superior estimates than more standard estimators such as nearest-neighbour or kernel density estimators.

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@inproceedings{Glynn1998EstimationOS, title={Estimation of Stationary Densities for Markov Chains}, author={Peter W. Glynn and Shane G. Henderson}, booktitle={Winter Simulation Conference}, year={1998} }