Markov Chain Moment Formulas for Regenerative Simulation

Abstract

Let (X sub n : n > or =) be a regenerative Markov chain on a general state space, and f a real-valued bounded function. Let tau and Z be random variables that have the distribution of a regeneration cycle length and the sum of f(Xk) over a cycle, respectively. This paper derives expressions for moments of the form E (tau superscript j) (Z superscript k), which are then used to gain insight into the qualities of regenerative estimators based on different regeneration points.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1989
Accession Number
ADA210684

Entities

People

  • James M. Calvin

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Banach Space
  • Classification
  • Covariance
  • Estimators
  • Hilbert Space
  • Markov Chains
  • Military Research
  • Notation
  • Operations Research
  • Probability
  • Procurement
  • Random Variables
  • Security
  • Simulations
  • Standards
  • Stochastic Processes
  • United States

Fields of Study

  • Mathematics

Readers

  • Analytical Mechanics
  • Statistical inference.

Technology Areas

  • Space