Notes: Conditions for the Applicability of the Regenerative Method

DOI10.1287/MNSC.39.9.1108MaRDI QIDQ4282284zbMATH OpenOpenAlexFDO

Authors Donald L. Iglehart, Peter W. Glynn

Publication date 11 October 1994

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/8f78625dc4eaad66ea1e5c2210bf139ea23cd302

zbMATH Keywords

central limit theoremsconsistent variance estimatorsmoments assumptionsregenerative methodregenerative processessimulation output analysisstandardized time series methodssteady-state estimationweakly consistent estimates

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99) Monte Carlo methods (65C05)

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• Some topics in regenerative steady-state simulation
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Cited in

(14)

• Estimation of steady-state central moments by the regenerative method of simulation
• Statistical estimates of transient periods for regenerative models by the coupling method
• Nonexistence of a class of variate generation schemes.
• Accelerated consistent estimation of a high load probability in \(M/G/1\) and \(GI/G/1\) queues
• A martingale approach to regenerative simulation
• Improved estimates and confidence intervals for regenerative simulation
• Application of splitting to failure estimation in controllable degradation system
• Limit theorems for the method of replication
• Return-State Independent Quantities in Regenerative Simulation
• The semi-regenerative method of simulation output analysis
• Exploiting regenerative structure to estimate finite time averages via simulation
• Estimation Methods for Delays in Non-regenerative Discrete-Event Systems
• On transience and recurrence in irreducible finite-state stochastic systems
• Asymptotically valid single-stage multiple-comparison procedures

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