Abstract
We propose a new estimator for some performance measures obtained from a regenerative simulation of a discrete-time Markov chain. Our new estimator is based on the idea of generating (uniform) random permutations of cycles corresponding to a certain state, and it has no larger (and typically smaller) mean squared error than the standard estimator. We show that our method can be used to derive a new estimator for the time-average variance parameter of a regenerative simulation.
Original language | English (US) |
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Pages (from-to) | 224-229 |
Number of pages | 6 |
Journal | Winter Simulation Conference Proceedings |
State | Published - 1997 |
Event | Proceedings of the 1997 Winter Simulation Conference - Atlanta, GA, USA Duration: Dec 7 1997 → Dec 10 1997 |
All Science Journal Classification (ASJC) codes
- Software
- Modeling and Simulation
- Safety, Risk, Reliability and Quality
- Chemical Health and Safety
- Applied Mathematics