Article ID: | iaor1994346 |
Country: | United States |
Volume: | 41 |
Issue: | 2 |
Start Page Number: | 400 |
End Page Number: | 408 |
Publication Date: | Mar 1993 |
Journal: | Operations Research |
Authors: | Glynn Peter W., Whitt Ward, Melamed Benjamin |
Keywords: | statistics: distributions |
In this paper the authors establish a joint central limit theorem for customer and time averages by applying a martingale central limit theorem in a Markov framework. The limiting values of the two averages appear in the translation terms. This central limit theorem helps to construct confidence intervals for estimators and perform statistical tests. It thus helps determine which finite average is a more asymptotically efficient estimator of its limit. As a basis for testing for PASTA (Poisson arrivals see time averages), the authors determine the variance constant associated with the central limit theorem for the difference between the two averages when PASTA holds.