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We study precise conditions under which the cyclic regenerative confidence intervals of Sargent and Shanthikumar are asymptotically valid. We also obtain an optimal way of implementing the cyclic rege...
The Covariance Function of a Regenerative Process
Regenerative process renewal function stationary process steady-state simulation
2015/7/8
In this paper, we develop regenerative representations for the covariance function of both a non-delayed regenerative process and a stationary regenerative process. These results are used to obtain co...
Can the Regenerative Method be Applied to Discrete-Event Simulations?
Regenerative Method Applied Discrete-Event Simulations
2015/7/8
The regenerative method enjoys asymptotic properties that make it a highly desirable approach for steady-state simulation output analysis. It has been shown that virtually all discrete-event simulatio...
Importance Sampling Using the Semi-Regenerative Method
Importance Sampling Semi-Regenerative Method
2015/7/8
We discuss using the semi-regenerative method, importance sampling, and stratification to estimate the expected cumulative reward until hitting a fixed set of states for a discrete-time Markov chain o...
Regenerative Steady-State Simulation of Discrete-Event Systems
Regenerative Steady-State Simulation Discrete-Event Systems
2015/7/8
The regenerative method possesses certain asymptotic properties that dominate those of other steady-state simulation output analysis methods, such as batch means. Therefore, applying the regenerative ...
Limit Theory for Taboo-Regenerative Processes
regenerative process quasi-stationarity renewal theory
2015/7/6
The paper considers the two-sided taboo limit process that arises when a regenerative process X is conditioned on staying out of a specified set of states (taboo set) over a long period of time. The t...
Empirical Performance of Bias-reducing Estimators for Regenerative Steady-State Simulations
Bias-reducing estimators regeneration simulation
2015/7/6
When simulating a stochastic system, simulationists often are interested in estimating various steady-state performance measures. The classical point estimator for such a measure involves simply takin...
Simulation Algorithms for Regenerative Processes
Simulation Algorithms Regenerative Processes
2015/7/6
This chapter is concerned with reviewing the basic ideas and concepts underlying the use of regenerative structure in the development of efficient simulation algorithms. While it has long been known t...
The Semi-Regenerative Method of Simulation Output Analysis
Variance reduction effi ciency improvement importance sampling bias reduction
2015/7/6
We develop a class of techniques for analyzing the output of simulations of a semi-regenerative process. Called the semi-regenerative method, the approach is a generalization of the regenerative metho...
Regenerative block empirical likelihood for Markov chains
Nummelin splitting technique time series Empirical Likelihood
2011/3/21
Empirical likelihood is a powerful semi-parametric method increasingly investigated in the literature. However, most authors essentially focus on an i.i.d. setting. In the case of dependent data, the ...
Regenerative block empirical likelihood for Markov chains
Nummelin splitting technique time series Empirical Likelihood MSC codes: 62G05 62F35 62F40
2011/3/23
Empirical likelihood is a powerful semi-parametric method increasingly investigated in the literature. However, most authors essentially focus on an i.i.d. setting. In the case of dependent data, the ...
Tail probabilities for a risk process with subexponential jumps in a regenerative and diffusion environment
Ruin probability Cox process diffusion process exponential change of measure
2009/9/21
In this paper we fmd a nonexponential Lundberg approximation
of the ruin probability in a Cox model, in which a governing
process has a regenerative structure and claims are light-tailed or
have an...