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

estimating variancefinite state Markov processesnumerical resultsvariance of sample mean

Mathematics Subject Classification ID

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

Cites work

• Evaluation of startup policies in simulation experiments
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Cited in

(5)

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

Describes a project that uses

Uses Software

• GASP IV

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