Recursive Moment Formulas for the Regenerative Simulation

P. W. Glynn and D. L. Iglehart

Semi-Markov Models, [J. Janssen, ed.].  Plenum Press, New York, 99-110 (1986)

Let an expression be a regenerative semi-Markov process with countable state space E and f a real-valued function on E. This paper gives a recursive method for computing moments. These moments are needed to improve the accuracy of confidence intervals for steady state parameters obtained when using the method of regenerative simulation.