Means and variances of time averages in Markovian environments
type: Item
instance of: scholarly article
title: Means and variances of time averages in Markovian environments
zbMATH Open document ID: 0621.60091
DOI: 10.1016/0377-2217(87)90147-0
published in: European Journal of Operational Research
publication date: 1987-01-01T00:00:00Z
review text: Let \(M(t)\) be a Markov process with finite state space \(S\) and \(X(t)=f(M(t))\) for some function \(f: S\to\mathbb R\). The author describes algorithms to calculate the mean and the variance of time averages \(\bar X(t)= \tfrac 1T \int^{T}_{0}X(t) \,dt\). Applications in statistics and simulation are mentioned and numerical examples are given.
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60K25
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 4007403
zbMATH Keywords: time averages
zbMATH Keywords: mean and the variance of time averages
zbMATH Keywords: numerical examples
author: Winfried K. Grassmann
reviewed by: Helmut Wegmann
MaRDI profile type: Publication
full work available at URL: 0377-2217(87)90147-0
OpenAlex ID: W2151997354
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description: scientific article; zbMATH DE number 4007403