Limit Theorems for the Method of Replication
P. W. Glynn
Stochastic Models, Vol. 3, 343-355 (1987)
To estimate continuous-time averages via randomly-spaced observations of discrete-event systems, we develop a point-process framework and use it to generalize both regenerative and stationaryprocess oriented simulation methodologies. We give consistent estimators, central limit theorems, and an effective bias-reducing jackknife. The impact on indirect estimation of transaction (customer) averages is discussed.