Estimating the asymptotic variance with batch means

DOI10.1016/0167-6377(91)90019-LzbMath0744.62113OpenAlexW2090161364MaRDI QIDQ1183382

Ward Whitt, Peter W. Glynn

Publication date: 28 June 1992

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(91)90019-l

zbMATH Keywords

consistencyasymptotic variancesequential stopping rulesrun lengthbatch-means estimation procedurenumber of batches

Mathematics Subject Classification ID

Statistical decision theory (62C99) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

Related Items (12)

New recursive estimators of the time-average variance constant ⋮ Batch means and spectral variance estimators in Markov chain Monte Carlo ⋮ Statistical inference for model parameters in stochastic gradient descent ⋮ Multiple-comparison procedures for steady-state simulations ⋮ Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators ⋮ Folded overlapping variance estimators for simulation ⋮ Online Covariance Matrix Estimation in Stochastic Gradient Descent ⋮ Markov chain Monte Carlo: can we trust the third significant figure? ⋮ Strong invariance principles for ergodic Markov processes ⋮ Spaced batch means ⋮ Combining standardized time series area and Cramér–von Mises variance estimators ⋮ Large-sample normality of the batch-means variance estimator

Cites Work

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• The asymptotic validity of sequential stopping rules for stochastic simulations
• Simulation Output Analysis Using Standardized Time Series
• Batch Size Effects in the Analysis of Simulation Output

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