Formulas for the variance of the sample mean in finite state markov processes

DOI10.1080/00949658008810424MaRDI QIDQ3889968zbMATH OpenOpenAlexFDO

Authors Gordon B. Hazen, A. Alan B. Pritsker

Publication date 1980

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL http://www.lib.ncsu.edu/resolver/1840.4/4442

zbMATH Keywords

numerical resultsvariance of sample meanfinite state Markov processesestimating variance

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Continuous-time Markov processes on discrete state spaces (60J27)

Cites work

• scientific article; zbMATH DE number 3854477 (Why is no real title available?)
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• Evaluation of startup policies in simulation experiments

Cited in

(5)

• Means and variances of time averages in Markovian environments
• Transaction tagging in highly congested queueing simulations
• WARM-UP PERIODS IN SIMULATION CAN BE DETRIMENTAL
• Autocorrelations in infinite server batch arrival queues
• Some asymptotic formulas for markov chains with applications to simulation^†

Describes a project that uses

Uses Software

• GASP IV

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