@inproceedings{9557249c84044b9fbbbc3503d0d0ba31,

title = "Covariance of regenerative mean and variance estimators for the Markov chains",

abstract = "The covariance matrix that appears in the central limit theorem for the regenerative mean and standard deviation estimators has been expressed in a form that allow several conclusions to be reached. The off-diagonal term, representing the covariance between the point and standard deviation estimators, is independent of the return state chosen for blocking. The expression for the variance of the standard deviation estimator shows that the variance is increased by kurtosis in the partial-sum random variables. The variance does depend on the return state used for blocking, and an example shows that the state with the shortest mean return time can have the greatest variance.",

author = "Calvin, {James M.}",

year = "1988",

doi = "10.1145/318123.318235",

language = "English (US)",

isbn = "0911801421",

series = "Winter Simulation Conference Proceedings",

publisher = "Publ by IEEE",

pages = "473--475",

booktitle = "Winter Simul Conf Proc 1988",

note = "Winter Simulation Conference Proceedings - 1988 ; Conference date: 12-12-1988 Through 14-12-1988",

}