Estimation of Stationary Densities for Markov Chains

P. W. Glynn and S. G. Henderson

Proceedings of the 1998 Winter Simulation Conference, 647-652 (1998)

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.