Formulas for the variance of the sample mean in finite state Markov processes

  • Authors:

  • Gordon B. Hazen;A. Alan B. Pritsker

  • Affiliations:

  • -;-

  • Venue:
  • WSC '77 Proceedings of the 9th conference on Winter simulation - Volume 1
  • Year:
  • 1977

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Abstract

Formulas are derived for the variance of sample means associated with finite state Markov processes. Results are presented to illustrate the use of the formulas for example processes. The formulas can be used to evaluate proposed statistical methods for estimating the variance of a sample mean obtained from simulation experiments.