Resampled regenerative estimators

Document Type

Article

Publication Date

5-1-2015

Abstract

We discuss some estimators for simulations of processes having multiple regenerative sequences. The estimators are obtained by resampling trajectories without and with replacement, which correspond to a type of U-statistic and a type of V-statistic, respectively. The U-statistic estimator turns out to be equivalent to the permuted regenerative estimator, which we previously proposed, but the V-statistic estimator is new. We compare analytically some properties of these estimators and the semiregenerative estimator. We show that when estimating the second moment of a cycle reward, the semiregenerative estimator has positive bias, which is strictly larger than the (positive) bias of the V-statistic estimator. The permuted estimator is unbiased. All of the estimators have the same asymptotic central limit behavior, with reduced asymptotic variance compared to the standard regenerative estimator. Some numerical results are included.

Identifier

84930175673 (Scopus)

Publication Title

ACM Transactions on Modeling and Computer Simulation

External Full Text Location

https://doi.org/10.1145/2699718

e-ISSN

15581195

ISSN

10493301

Issue

4

Volume

25

Grant

DMI-9624469

Fund Ref

National Science Foundation

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