A regenerative bootstrap approach to estimating the initial transient

Authors:
Peter W. Glynn;Xiaowei Zhang
Affiliations:
Stanford University, Stanford, CA;Stanford University, Stanford, CA
Venue:
Proceedings of the Winter Simulation Conference
Year:
2010

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Abstract

We propose a new algorithm for identifying the duration of the initial transient for a regenerative stochastic process. The algorithm involves re-sampling of the simulated cycles, and therefore has a "bootstrap" flavor. The paper includes a derivation of the estimator for the duration of the transient that offers theoretical support for its validity, and provides a preliminary numerical investigation of the estimator's properties.