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On occurrence of patterns in Markov chains: Method of gambling teams

✍ Scribed by Vladimir Pozdnyakov


Book ID
108267539
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
411 KB
Volume
78
Category
Article
ISSN
0167-7152

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We discuss the asymptotic validity of confidence intervals for quantiles of performance variables when simulating a Markov chain. We show that a batch quantile methodology (similar to the batch means method) can be applied to obtain confidence intervals that are asymptotically valid under mild assum