Means and variances of time averages in Markovian environments
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.
scientific article; zbMATH DE number 4007403
scientific article