An Implementation of the Batch Means Method

DOI10.1287/IJOC.9.3.296MaRDI QIDQ4366469zbMATH OpenOpenAlexFDO

Authors George S. Fishman, L. Stephen Yarberry

Publication date 15 March 1999

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.9.3.296

zbMATH Keywords

stationary stochastic processesstationary stochastic processbatch means methoddiscrete-event simulation experiments

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Software, source code, etc. for problems pertaining to statistics (62-04) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09) Software, source code, etc. for problems pertaining to numerical analysis (65-04)

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Cited in

(12)

• On the validity of the batch quantile method for Markov chains
• Time series analysis of fMRI data: spatial modelling and Bayesian computation
• Extended dynamic partial-overlapping batch means estimators for steady-state simulations
• ASAP3: a batch means procedure for steady-state simulation analysis
• Variance estimation and sequential stopping in steady-state simulations using linear regression
• Spaced batch means
• Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
• Data-Based Choice of Batch Size for Simulation Output Analysis
• A wavelet-based spectral procedure for steady-state simulation analysis
• Weighted Batch Means for Confidence Intervals in Steady-State Simulations
• Simulation analysis in cognitive radio networks with unreliability and abandonment
• Simulation output analysis using the threshold bootstrap

Describes a project that uses

Uses Software

• SIMSCRIPT

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