Conditions for the Applicability of the Regenerative Method

Abstract

The regenerative method for estimating steady-state parameters is one of the basic methods in the simulation literature. This method depends on central limit theorems for regenerative processes and weakly consistent estimates for the variance constants arising in the central limit theorem. A weak sufficient (and probably necessary) condition for both the central limit theorems and consistent estimates is given. Several references have claimed (without proof strong consistency of the variance estimates under our condition. This claim seems to us unjustified and we hope this note helps clarify the situation. Also discussed is the relationship between conditions for the validity of the regenerative method and those for the validity of the standardized time series methods.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1991
Accession Number
ADA248598

Entities

People

  • Donald Iglehart
  • Peter W. Glynn

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Consistency
  • Convergence
  • Estimators
  • Intervals
  • Literature
  • Markov Chains
  • Military Research
  • Random Variables
  • Sequences
  • Simulations
  • Standards
  • Steady State
  • Stochastic Processes
  • United States
  • United States Government
  • Universities
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Electrical Engineering
  • Theoretical Analysis.