Return-State Independent Quantities in Regenerative Simulation

DOI10.1287/OPRE.42.3.531MaRDI QIDQ4305755zbMATH OpenOpenAlexFDO

Authors

Publication date 6 February 1995

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.42.3.531

zbMATH Keywords

asymptotic covarianceasymptotic variancechoice of return stateconfidence intervalscoverage probabilitiesgeneral state-space Markov chainslimiting joint distributionregenerative method of simulation output analysisregenerative point estimatorsstandard- deviation estimators

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Notes: Conditions for the Applicability of the Regenerative Method
• The semi-regenerative method of simulation output analysis
• Accelerated regeneration for Markov chain simulations
• Simulation of processes with multiple regeneration sequences

Cited in

(9)

• Some topics in regenerative steady-state simulation
• Permuted derivative and importance-sampling estimators for regenerative simulations.
• Simulation of processes with multiple regeneration sequences
• Derandomizing variance estimators
• Accelerated regeneration for Markov chain simulations
• Improved estimates and confidence intervals for regenerative simulation
• A note on skewness in regenerative simulation
• The semi-regenerative method of simulation output analysis
• Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions

This page was built for publication: Return-State Independent Quantities in Regenerative Simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4305755)