On the theoretical comparison of low-bias steady-state estimators

DOI10.1145/1189756.1189760MaRDI QIDQ3549151zbMATH OpenOpenAlexFDO

Authors Hernan Awad, Peter W. Glynn

Publication date 21 December 2008

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/1189756.1189760

zbMATH Keywords

steady-state simulationLow-bias estimatorsmean-square error expansion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(4)

• Empirical performance of bias-reducing estimators for regenerative steady-state simulations
• Computing Bayesian means using simulation
• Transient error approximation in a Lévy queue
• Coupling from the past with randomized quasi-Monte Carlo

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