Formulas for the variance of the sample mean in finite state markov processes

DOI10.1080/00949658008810424zbMath0445.62094OpenAlexW1979693658MaRDI QIDQ3889968

Gordon B. Hazen, A. Alan B. Pritsker

Publication date: 1980

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/4442

zbMATH Keywords

numerical resultsvariance of sample meanfinite state Markov processesestimating variance

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Continuous-time Markov processes on discrete state spaces (60J27) Probabilistic methods, stochastic differential equations (65C99)

Related Items (5)

Some asymptotic formulas for markov chains with applications to simulation^† ⋮ Means and variances of time averages in Markovian environments ⋮ Transaction tagging in highly congested queueing simulations ⋮ WARM-UP PERIODS IN SIMULATION CAN BE DETRIMENTAL ⋮ Autocorrelations in infinite server batch arrival queues

Uses Software

• GASP IV

Cites Work

• Evaluation of startup policies in simulation experiments
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