A new class of strongly consistent variance estimators for steady-state simulations

DOI10.1016/0304-4149(88)90065-8zbMath0656.62096MaRDI QIDQ1110224

Peter W. Glynn, Donald L. Iglehart

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90065-8

zbMATH Keywords

convergence rates; weak convergence; strong approximation; strong consistency; steady-state simulation; consistent estimators; variance estimators; asymptotic confidence interval; increments of Wiener processes; regenerative method of simulation

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

60F15: Strong limit theorems

60G17: Sample path properties

60F17: Functional limit theorems; invariance principles

Related Items

On extreme value asymptotics for increments of renewal processes, Variance Estimation Based on Invariance Principles

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