Strong Consistency of the Variance Estimator in Steady-State Simulation Output Analysis

DOI10.1287/MOOR.19.2.494zbMath0803.65147OpenAlexW2091512600MaRDI QIDQ4302599

Halim Damerdji

Publication date: 2 January 1995

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.19.2.494

zbMATH Keywords

correlationtime seriesconfidence intervalstrong consistencyvariance estimationstrongly consistent estimatorweakly consistent estimatoroverlapping batch meanssteady-state simulation output analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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