Large-Sample Results for Batch Means

DOI10.1287/mnsc.43.9.1288zbMath1043.90512OpenAlexW2170610685MaRDI QIDQ4364353

Chiahon Chien, Benjamin Melamed, David Goldsman

Publication date: 1997

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8ccd6898bff1c53c13a66a77c0009f4542035a30

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Operations research and management science (90B99)

Related Items (13)

An improved standardized time series Durbin-Watson variance estimator for steady-state simulation ⋮ New recursive estimators of the time-average variance constant ⋮ Batch means and spectral variance estimators in Markov chain Monte Carlo ⋮ Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators ⋮ Folded overlapping variance estimators for simulation ⋮ Batching Adaptive Variance Reduction ⋮ Strong invariance principles for ergodic Markov processes ⋮ USING EXCURSIONS TO ANALYZE SIMULATION OUTPUT ⋮ Variance estimation and sequential stopping in steady-state simulations using linear regression ⋮ Kernel estimation of quantile sensitivities ⋮ Combining standardized time series area and Cramér–von Mises variance estimators ⋮ A wavelet-based spectral procedure for steady-state simulation analysis ⋮ Large-sample normality of the batch-means variance estimator

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