A Regenerative Bootstrap Approach to Estimating the Initial Transient

Abstract

We propose a new algorithm for identifying the duration of the initial transient for a regenerative stochastic process. The algorithm involves re-sampling of the simulated cycles, and therefore has a ‘‘bootstrap’’ flavor. The paper includes a derivation of the estimator for the duration of the transient that offers theoretical support for its validity, and provides a preliminary numerical investigation of the estimator’s properties.

Publication
Proceedings of the 2010 Winter Simulation Conference, 965–970
regenerative process bootstrap initial transient steady state simulation