A Regenerative Bootstrap Approach to Estimating the Initial Transient

P. W. Glynn and X. Zhang

Proceedings of the 2010 Winter Simulation Conference, 965-970 (2010)

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.