An Investigation of Finite-Sample Behavior of Confidence Interval Estimators

DOI10.1287/OPRE.40.5.898MaRDI QIDQ4015478zbMATH OpenOpenAlexFDO

Authors Robert G. Sargent, Keebom Kang, David Goldsman

Publication date 5 January 1993

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.40.5.898

zbMATH Keywords

meanvariancestationary time seriesexpected valuecoverage probabilitydiscrete-event simulationconvergence propertiesstationary discrete processsmall-sample behaviorstandardized time seriesoverlapping batch meansconfidence interval estimatorsnonoverlapping batch means

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09)

Recommendations

• Note—New Confidence Interval Estimators Using Standardized Time Series
• Asymptotic Properties of Some Confidence Interval Estimators for Simulation Output
• scientific article; zbMATH DE number 1630079
• Estimating the steady-state mean from short transient simulations
• Weighted Batch Means for Confidence Intervals in Steady-State Simulations

Cited in

(11)

• scientific article; zbMATH DE number 1154650 (Why is no real title available?)
• Large-sample normality of the batch-means variance estimator
• Finite-sample analysis of \(M\)-estimators using self-concordance
• Finite-sample confidence envelopes for shape-restricted densities
• Estimating the steady-state mean from short transient simulations
• Selecting Stopping Rules for Confidence Interval Procedures
• Note—New Confidence Interval Estimators Using Standardized Time Series
• Multiple-comparison procedures for steady-state simulations
• Data-Based Choice of Batch Size for Simulation Output Analysis
• Can coverage of confidence intervals be used to judge the goodness of point estimators in finite population double sampling?
• Simulation output analysis using the threshold bootstrap

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