Estimating the asymptotic variance with batch means

DOI10.1016/0167-6377(91)90019-LzbMath0744.62113OpenAlexW2090161364MaRDI QIDQ1183382

Ward Whitt, Peter W. Glynn

Publication date: 28 June 1992

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

Full work available at URL: https://doi.org/10.1016/0167-6377(91)90019-l

zbMATH Keywords

consistencyasymptotic variancesequential stopping rulesrun lengthbatch-means estimation procedurenumber of batches

Mathematics Subject Classification ID

Statistical decision theory (62C99) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

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Cites Work

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• The asymptotic validity of sequential stopping rules for stochastic simulations
• Simulation Output Analysis Using Standardized Time Series
• Batch Size Effects in the Analysis of Simulation Output