Accession Number:

ADA210684

Title:

Markov Chain Moment Formulas for Regenerative Simulation

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH

Personal Author(s):

Report Date:

1989-06-01

Pagination or Media Count:

15.0

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 fXk 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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE