Return-State Independent Quantities in Regenerative Simulation

James Calvin
Additional contact information
James Calvin: Georgia Institute of Technology, Atlanta, Georgia

Operations Research, 1994, vol. 42, issue 3, 531-542

Abstract: An important parameter of the regenerative method of simulation output analysis is the choice of return state used for blocking observations. Computational experience has shown that the statistical properties of estimators based on different regeneration points can vary widely. In this paper we study the limiting joint distribution of the normalized regenerative point and standard-deviation estimators for general state-space Markov chains. The asymptotic covariance between the point and standard-deviation estimators is shown to be the same for all return states, and the quantity is related to the normalized skewness of the partial sums of the chain. Since the covariance is constant, it follows that the choice of return state that minimizes the asymptotic variance of the standard-deviation estimator will maximize the correlation between the point and standard-deviation estimator. Consideration of asymptotic variance and covariance alone suggests that confidence intervals have the best coverage probabilities if the asymptotic variance of the standard-deviation estimator is minimized (thereby maximizing the correlation).

Keywords: simulation; efficiency: low variance estimators; simulation; statistical analysis: covariance of estimators (search for similar items in EconPapers)
Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://dx.doi.org/10.1287/opre.42.3.531 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:42:y:1994:i:3:p:531-542

Access Statistics for this article

More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().