Estimation of steady-state quantities of an HMM with some rarely generated emissions
Az-eddine Zakrad, Abdelaziz Nasroallah · Monte Carlo Methods and Applications · 2022
Abstract We propose to apply the importance sampling and the antithetic variates statistical techniques to estimate steady-state quantities of an Hidden Markov chain (HMM) of which certain emissions are rarely generated. Compared to standard Monte Carlo simulation, the use of these techniques, allow a significant reduction in simulation time. Numerical Monte Carlo examples are studied to show the usefulness and efficiency of the proposed approach.