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Simulation from quasi-stationary distributions on reducible state spaces
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Griffin, Adam, Jenkins, Paul, Roberts, Gareth O. and Spencer, Simon E. F. (2017) Simulation from quasi-stationary distributions on reducible state spaces. Advances in Applied Probability, 49 (3). pp. 960-980. doi:10.1017/apr.2017.28
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Official URL: https://doi.org/10.1017/apr.2017.28
Abstract
Quasi-stationary distributions (QSDs) arise from stochastic processes that exhibit transient equilibrium behaviour on the way to absorption. QSDs are often mathematically intractable and even drawing samples from them is not straightforward. In this paper the framework of Sequential Monte Carlo samplers is utilized to simulate QSDs and several novel resampling techniques are proposed to accommodate models with reducible state spaces, with particular focus on preserving particle diversity on discrete spaces. Finally an approach is considered to estimate eigenvalues associated with QSDs, such as the decay parameter.
| Item Type: | Journal Article | ||||||
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| Subjects: | Q Science > QA Mathematics | ||||||
| Divisions: | Faculty of Science > Mathematics Faculty of Science > Statistics |
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| Library of Congress Subject Headings (LCSH): | Resampling (Statistics), Stochastic analysis, Monte Carlo method | ||||||
| Journal or Publication Title: | Advances in Applied Probability | ||||||
| Publisher: | Applied Probability Trust | ||||||
| ISSN: | 0001-8678 | ||||||
| Official Date: | 8 September 2017 | ||||||
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| Volume: | 49 | ||||||
| Number: | 3 | ||||||
| Page Range: | pp. 960-980 | ||||||
| DOI: | 10.1017/apr.2017.28 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||
| RIOXX Funder/Project Grant: |
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