The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis

DOI10.1016/J.EJOR.2018.11.059zbMath1430.62190OpenAlexW2904142032WikidataQ128776828 ScholiaQ128776828MaRDI QIDQ1719643

Wheyming Tina Song

Publication date: 11 February 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.11.059

zbMATH Keywords

simulationimplementable Song rulesmallest-batch-sizes linear combinationthe variance of the sample mean

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Monte Carlo methods (65C05)

Cites Work

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