The Initial Transient in Steady-State Point Estimation: Contexts, A Bibliography, The MSE Criterion, and The MSER Statistic. Pasupathy, R. & Schmeiser, B. W. In B.~Johansson, S.~Jain, J.~Montoya-Torres, J.~Hugan, & E.~Yücesan, editors, Proceedings of the 2010 Winter Simulation Conference, pages 184–197, Piscataway, NJ, 2010. Institute of Electrical and Electronics Engineers, Inc..
The Initial Transient in Steady-State Point Estimation: Contexts, A Bibliography, The MSE Criterion, and The MSER Statistic [pdf]Paper  abstract   bibtex   
The initial transient is an unavoidable issue when estimating parameters of steady-state distributions. We discuss contexts and factors that affect how the initial transient is handled, provide a bibliography (from the system simulation literature), discuss criteria for evaluating initial-transient algorithms, arguing for focusing on the mean squared error (mse). We discuss the MSER statistic, showing that it is asymptotically proportional to the mse and therefore a good foundation for initial-transient algorithms. We suggest two new algorithms (MSER-LLM and MSER-LLM2) for using the MSER statistic and compare them, based on empirical results for M/M/1 and AR(1) data processes, to the original MSER algorithm (MSER-GM).

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