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- Use independent replications, i.e. the simulation is repeated
a total of R times, each run using a different random number
stream and independently chosen initial conditions.
- Let be the ith observations within replication
and r = 1, 2, ..., R.
- For a fixed r,
autocorrelated sequence. For different replications and
are statistically independent.
- Define a sample mean
- There are R samples, so R sample means, the
overall point estimate is