Exact expected values of variance estimators for simulation

DOI10.1002/nav.20215zbMath1126.62083OpenAlexW2080982314MaRDI QIDQ5436960

David Goldsman, Nilay Tanık Argon, James R. Wilson, Christos Alexopoulos, Aktaran-Kalaycı Tûba

Publication date: 18 January 2008

Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nav.20215

zbMATH Keywords

stationary processvariance estimationAR(1) processesstandardized time seriesoverlapping batch meansnonoverlapping batch means

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Queueing theory (aspects of probability theory) (60K25)

Related Items (5)

An improved standardized time series Durbin-Watson variance estimator for steady-state simulation ⋮ Folded overlapping variance estimators for simulation ⋮ The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis ⋮ Variance estimation and sequential stopping in steady-state simulations using linear regression ⋮ Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations

Cites Work

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