Consequences of Uniform Integrability for Simulation

P. W. Glynn and D. L. Iglehart

Technical Report, Department of Operations Research, Stanford University (1986)

Sufficient conditions for uniform integrability in the regenerative central limit theorem (CLT) are obtained. The result is used to show the equality of different representations for the variance constant appearing in the CLT, as well as to study the asymptotic moment structure of the regenerative variance estimator.