Formulas for the Variance of the Sample Mean in Finite State Markov Processes

G. B. Hazen, A. A. B. Pritsker

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

Formulas are derived for the variance of sample means associated with finite state Markov processes. Numerical results are presented to illustrate the use of the formulas for example processes. The formulas can be used to evaluate proposed statistical methods for estimating the variance of a sample mean obtained from simulation experiments.
Original languageEnglish
Pages (from-to)25-40
JournalJournal of Statistical Computation and Simulation
Volume12
DOIs
StatePublished - 1980

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