Covariance of regenerative mean and variance estimators for Markov chains.
James M. CalvinPublished in: WSC (1988)
Keyphrases
- markov chain
- variance estimator
- variance reduction
- steady state
- monte carlo
- importance sampling
- confidence intervals
- markov process
- low variance
- covariance matrix
- markov processes
- transition probabilities
- finite state
- von mises
- continuous time markov chains
- state space
- stochastic process
- random walk
- monte carlo method
- markov model
- stationary distribution
- unbiased estimator
- sample path
- random numbers
- transition matrix
- queue length
- sample size
- assemble to order systems
- queueing networks
- pairwise