Improved estimates and confidence intervals for regenerative simulation

DOI10.1080/03610918.2013.833230MaRDI QIDQ2943794zbMATH OpenOpenAlexFDO

Authors Christopher S. Withers, Saralees Nadarajah

Publication date 4 September 2015

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2013.833230

zbMATH Keywords

confidence intervalsreduced biasregenerative simulation

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10)

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• Bootstrap confidence intervals for ratios of expectations
• Return-State Independent Quantities in Regenerative Simulation
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• Notes: Conditions for the Applicability of the Regenerative Method

Cites work

• A note on skewness in regenerative simulation
• A Renewal Theoretic Approach to Bias Reduction in Regenerative Simulations
• Bias Properties of Budget Constrained Simulations
• Correlation-inducing variance reduction in regenerative simulation
• Expansions for the distribution and quantiles of a regular functional of the empirical distribution with applications to nonparametric confidence intervals
• Permuted derivative and importance-sampling estimators for regenerative simulations.
• Simulating stable stochastic systems, V: Comparison of ratio estimators

Cited in

(2)

• Permuted derivative and importance-sampling estimators for regenerative simulations.
• Multivariate Estimation of Conditional Performance Measures in Regenerative Simulation

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