Notes: Conditions for the Applicability of the Regenerative Method

Peter W. Glynn and Donald L. Iglehart
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Peter W. Glynn: Department of Operations Research, Stanford University, Stanford, California 94305
Donald L. Iglehart: Department of Operations Research, Stanford University, Stanford, California 94305

Management Science, 1993, vol. 39, issue 9, 1108-1111

Abstract: The regenerative method for estimating steady-state parameters is one of the basic methods in simulation output analysis. This method depends on central limit theorems for regenerative processes and weakly consistent estimates for the variance constants arising in the central limit theorems. A weak sufficient condition for both the central limit theorems and consistent estimates is given. Previous authors have implicitly made stronger moment assumptions which have led to strongly consistent variance estimates, more than is needed for the regenerative method to hold. The relationship between conditions for the validity of the regenerative method and those for the validity of standardized time series methods is also discussed.

Keywords: consistent variance estimators; regenerative method; regenerative processes; simulation; standardized time series; steady-state estimation (search for similar items in EconPapers)
Date: 1993
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