On confidence intervals from simulation of finite Markov chains

On confidence intervals from simulation of finite Markov chains

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Article ID: iaor19982957
Country: Germany
Volume: 46
Issue: 2
Start Page Number: 241
End Page Number: 250
Publication Date: Jan 1997
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: ,
Abstract:

Consider a finite state irreducible Markov reward chain. It is shown that there exist simulation estimates and confidence intervals for the expected first passage times and rewards as well as the expected average reward, with 100% coverage probability. The length of the confidence intervals converges to zero with probability one as the sample size increases; it also satisfies a large deviations property.

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