Markov Chains and Mixing Times
by D. A. Levin, Y. Peres, E. L. Wilmer
Publisher: American Mathematical Society 2008
ISBN/ASIN: 0821847392
ISBN-13: 9780821847398
Number of pages: 387
Description:
This book is an introduction to the modern approach to the theory of Markov chains. The main goal of this approach is to determine the rate of convergence of a Markov chain to the stationary distribution as a function of the size and geometry of the state space. The authors develop the key tools for estimating convergence times, including coupling, strong stationary times, and spectral methods.
Download or read it online for free here:
Download link
(4.5MB, PDF)
Similar books
Non-Uniform Random Variate Generationby Luc Devroye - Springer
The book on small field on the crossroads of statistics, operations research and computer science. The applications of random number generators are wide and varied. The study of non-uniform random variates is precisely the subject area of the book.
(14848 views)
Bayesian Spectrum Analysis and Parameter Estimationby G. Larry Bretthorst - Springer
This work is a research document on the application of probability theory to the parameter estimation problem. The people who will be interested in this material are physicists, economists, and engineers who have to deal with data on a daily basis.
(17691 views)
Introduction to Randomness and Statisticsby Alexander K. Hartmann - arXiv
This is a practical introduction to randomness and data analysis, in particular in the context of computer simulations. At the beginning, the most basics concepts of probability are given, in particular discrete and continuous random variables.
(14116 views)
Inverse Problem Theory and Methods for Model Parameter Estimationby Albert Tarantola - SIAM
The first part deals with discrete inverse problems with a finite number of parameters, while the second part deals with general inverse problems. The book for scientists and applied mathematicians facing the interpretation of experimental data.
(16949 views)