Replicated batch means variance estimators in the presence of an initial transient

DOI10.1145/1176249.1176250zbMath1478.62246OpenAlexW2075712519MaRDI QIDQ4565374

Nilay Tanık Argon, Christos Alexopoulos, Sigrún Andradóttir, David Goldsman

Publication date: 12 June 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1176249.1176250

zbMATH Keywords

stochastic simulationvariance estimationsteady-state analysistransient analysisbatch meansindependent replications

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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