Covariance of regenerative mean and variance estimators for Markov chains

Authors:
James M. Calvin
Affiliations:
Department of Operations Research, Stanford University, Stanford, California
Venue:
WSC '88 Proceedings of the 20th conference on Winter simulation
Year:
1988

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Abstract

This paper explores the asymptotic covariance structure of the mean and standard deviation estimators used in the regenerative method of simulation output analysis. It is shown that the asymptotic covariance of the mean and standard deviation estimators does not depend on the choice of return state.