Large-sample normality of the batch-means variance estimator
From MaRDI portal
Publication:1866993
DOI10.1016/S0167-6377(02)00156-6zbMath1009.62072MaRDI QIDQ1866993
Publication date: 2 April 2003
Published in: Operations Research Letters (Search for Journal in Brave)
Related Items
Strong invariance principles for ergodic Markov processes, Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Estimating the asymptotic variance with batch means
- Batch Size Effects in the Analysis of Simulation Output
- An Investigation of Finite-Sample Behavior of Confidence Interval Estimators
- The estimation of standard errors in Monte Carlo simulation experiments
- Moment bounds for stationary mixing sequences
- Large-Sample Results for Batch Means
- Planning Queueing Simulations
- Optimal Mean-Squared-Error Batch Sizes
- Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
- Estimation of the mean of a stationary time series by sampling