In:
Journal of Applied Probability, Cambridge University Press (CUP), Vol. 52, No. 04 ( 2015-12), p. 1133-1145
Abstract:
Let f be an integrable function on an infinite measure space (S, , π). We show that if a regenerative sequence { X n } n ≥0 with canonical measure π could be generated then a consistent estimator of λ ≡ ∫ S f dπ can be produced. We further show that under appropriate second moment conditions, a confidence interval for λ can also be derived. This is illustrated with estimating countable sums and integrals with respect to absolutely continuous measures on ℝ d using a simple symmetric random walk on ℤ.
Type of Medium:
Online Resource
ISSN:
0021-9002
,
1475-6072
DOI:
10.1017/S0021900200113129
Language:
English
Publisher:
Cambridge University Press (CUP)
Publication Date:
2015
detail.hit.zdb_id:
1474599-9
detail.hit.zdb_id:
219147-7
SSG:
3,2
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