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Estimation of steady-state quantities of an HMM with some rarely generated emissions

Author

Listed:
  • Zakrad Az-eddine

    (Mathematics Department, Semlalia Faculty of Sciences, Cadi Ayyad University, B.P. 2390, Marrakech, Morocco)

  • Nasroallah Abdelaziz

    (Mathematics Department, Semlalia Faculty of Sciences, Cadi Ayyad University, B.P. 2390, Marrakech, Morocco)

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.

Suggested Citation

  • Zakrad Az-eddine & Nasroallah Abdelaziz, 2022. "Estimation of steady-state quantities of an HMM with some rarely generated emissions," Monte Carlo Methods and Applications, De Gruyter, vol. 28(1), pages 27-44, March.
    • Handle: RePEc:bpj:mcmeap:v:28:y:2022:i:1:p:27-44:n:3
    DOI: 10.1515/mcma-2022-2103
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