Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation

DOI10.1145/3649437zbMath1548.62117MaRDI QIDQ6639393

Ying-Chieh Yeh, Ziwei Su, Peter W. Glynn, Raghu Pasupathy

Publication date: 15 November 2024

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

zbMATH Keywords

confidence intervalstime seriesuncertainty quantification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Monte Carlo methods (65C05)

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