Improved Estimates and Confidence Intervals for Regenerative Simulation

In regenerative simulation, one frequently requires an estimate or a confidence interval for the ratio of the means of the two components of a certain bivariate random quantity. Estimation of this ratio has been studied by many authors and most recently by Asmussen and Rydén(2010 Asmussen, S., Rydén, T. (2010). A note on skewness in regenerative simulation. Communications in Statistics—Simulation and Computation 40: 45–57.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]). Here, we propose an estimate that performs better than the best of the known estimates. Our estimate is also lot simpler than the best known estimate.