Improved Estimates and Confidence Intervals for Regenerative Simulation

Abstract

In regenerative simulation, one frequently requires an estimate or a confidence interval for the ratio of the means of the two components of a certain bivariate random quantity. Estimation of this ratio has been studied by many authors and most recently by Asmussen and Rydén(2010). Here, we propose an estimate that performs better than the best of the known estimates. Our estimate is also lot simpler than the best known estimate.

Keywords:

• Confidence intervals
• Reduced bias
• Regenerative simulation

Mathematics Subject Classification:

• 62E10