On Confidence Intervals for Cyclic Regenerative Processes
P. W. Glynn
Operations Research Letters, Vol. 2, 66-71 (1983)
We study precise conditions under which the cyclic regenerative confidence intervals of Sargent and Shanthikumar are asymptotically valid. We also obtain an optimal way of implementing the cyclic regenerative variance reduction technique, and obtain a sufficient condition under which the procedure yields a lower variance than that of the standard regenerative method.