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Coverage Error for Confidence Intervals Arising in Simulation Output Analysis
Coverage Error Confidence Intervals Arising Simulation Output Analysis
2015/7/8
Coverage error asymptotics for confidence intervals arising in simulation are discussed~ Asymptotic expansions, to order O(n-1) (n is the sample size), are given for confidence intervals associated wi...
Estimation of Continuous-time Markov Processes Sampled at Random Time Intervals
Method of moments parameter estimation Markov process
2015/7/6
We introduce a family of generalized-method-of-moments estimators of the parameters of a continuous-time Markov process observed at random time intervals. The results include strong consistency, asymp...
Asymptotic Validity of Batch Means Steady-State Confidence Intervals
Asymptotic Validity Batch Means Steady-State Confidence Intervals
2015/7/6
Themethod of batch means is a widely applied procedure for constructing steady-state confidence intervals. The traditional theoretical support for the method of batch means has rested on the assumptio...