Strong Consistency and Other Properties of the Spectral Variance Estimator

DOI10.1287/mnsc.37.11.1424zbMath0741.62086OpenAlexW2032679978MaRDI QIDQ3989292

Halim Damerdji

Publication date: 28 June 1992

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.37.11.1424

zbMATH Keywords

strong consistencycharacterization of spectral density function estimatorsfixed-width confidence interval constructionoverlapping batch means-type variance estimatorsspectral variance estimator of steady-state simulation output analysis

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (10)

Weighted batch means estimators in Markov chain Monte Carlo ⋮ New recursive estimators of the time-average variance constant ⋮ Globally Centered Autocovariances in MCMC ⋮ Batch means and spectral variance estimators in Markov chain Monte Carlo ⋮ Statistical inference for model parameters in stochastic gradient descent ⋮ Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators ⋮ Batch size selection for variance estimators in MCMC ⋮ Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain ⋮ Strong invariance principles for ergodic Markov processes ⋮ Asymptotically valid single-stage multiple-comparison procedures

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