Estimating Time Averages via Randomly-Spaced Observations

DOI10.1137/0147011MaRDI QIDQ3750863zbMATH OpenOpenAlexFDO

Authors Bennett L. Fox, Peter W. Glynn

Publication date 1987

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0147011

zbMATH Keywords

central limit theoremsconfidence intervalsConsistencycontinuous-time averagesdiscrete-event systemseffective bias- reducing jackknifepoint-processrandomly-spaced observationssimulation methodologies

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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(4)

• Estimation methods for passage times using one-dependent cycles
• Mean completion time for a randomly varying rate of work
• Event and time averages: a review
• Asymptotic time averages and frequency distributions

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