On the dispersion matrix of variance estimators of the sample mean in the analysis of simulation output

DOI10.1016/0167-6377(88)90042-9zbMath0648.62055OpenAlexW2064451324MaRDI QIDQ1105303

Wheyming Tina Song, Bruce W. Schmeiser

Publication date: 1988

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(88)90042-9

zbMATH Keywords

quadratic formsstochastic simulationdispersion matrixoverlapping-batch-means estimatorsstandardized-time-series estimatorssteady-state autocorrelated processsteady-state first-order autoregressive and moving-average datavariance of point estimatorsvariance of the sample mean

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Confidence Interval Estimation Using Standardized Time Series
• Batch Size Effects in the Analysis of Simulation Output
• A mean-time comparison of algorithms for the all-pairs shortest-path problem with arbitrary arc lengths
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