Multivariate estimation in regenerative simulation

  • Authors:

  • Andrew F. Seila

  • Affiliations:

  • Department of Quantitative Business Analysis, University of Georgia, Athens, GA 30602, U.S.A.

  • Venue:
  • Operations Research Letters
  • Year:
  • 1982

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Abstract

A definition is given of regenerative simulation that applies to simulation that applies to simulations with multiple responses. Then, a multivariate regenerative estimator of the stationary mean response is presented and shown to be asymptotically normal. Methods for computing confidence regions and simultaneous confidence intervals are also presented.