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A new class of strongly consistent variance estimators for steady-state simulations

The principal problem associated with steady-state simulation is the estimation of the variance term in an associated central limit theorem. This paper develops several strongly consistent estimates for this term using the strong approximations available for Brownian motion. A comparison of rates of convergence is given for a variety of estimators.
Year of publication:
1988
Authors: Glynn, Peter W. ; Iglehart, Donald L.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 28.1988, 1, p. 71-80
Publisher: Elsevier
Keywords: Brownian motion confidence intervals rates of convergence regenerative simulation simulation output analysis steady-state simulation strong approximation laws strongly consistent estimation
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008875402
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