A Regenerative Bootstrap Approach to Estimating the Initial Transient

Dec 10, 2010·
Peter W. Glynn
Peter W. Glynn
Xiaowei Zhang
Xiaowei Zhang
· 0 min read
DOI
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.
Type
Publication
Proceedings of the 2010 Winter Simulation Conference, 965–970
publications
Regenerative Process Bootstrap Initial Transient Steady State Simulation
Peter W. Glynn
Authors
Peter W. Glynn
Thomas W. Ford Professor in the Department of Management Science and Engineering, Stanford University.
Xiaowei Zhang
Authors
Xiaowei Zhang
I am an Associate Professor at HKUST, jointly appointed in the Department of Industrial Engineering and Decision Analytics and the Department of Economics, and the Academic Director of the MSc in FinTech program. I serve as an Associate Editor for several leading journals in the field, including Management Science, Operations Research, Navel Research Logistics, and Queueing Systems.