A Note on Skewness in Regenerative Simulation

@article{Asmussen2011ANO,
  title={A Note on Skewness in Regenerative Simulation},
  author={S\oren Asmussen and Tobias Ryd{\'e}n},
  journal={Communications in Statistics - Simulation and Computation},
  year={2011},
  volume={40},
  pages={45-57}
}
The purpose of this paper is to show, empirically and theoretically, that performance evaluation by means of regenerative simulation often involves random variables with distributions that are heavytailed and heavily skewed. This, in turn, leads to the variance of estimators being poorly estimated, and confidence intervals having actual coverage quite different from (typically lower than) the nominal. We illustrate these general ideas by estimating the mean occupancy and tail probabilities in M… CONTINUE READING

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