Efficient computation of overlapping variance estimators for simulation

DOI10.1287/IJOC.1060.0198MaRDI QIDQ2892343zbMATH OpenOpenAlexFDO

Authors Christos Alexopoulos, Nilay Tanık Argon, David Goldsman, Natalie M. Steiger, Gamze Tokol, James R. Wilson

Publication date 18 June 2012

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

Full work available at URL https://doi.org/10.1287/ijoc.1060.0198

zbMATH Keywords

steady-state simulationanalysis methodsarea variancemethod of batch meansmethod of standardized time seriessimulation outputCramér-von Mises variance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cited in

(14)

• Overlapping Variance Estimators for Simulation
• Exact expected values of variance estimators for simulation
• Overlapping batches for the assessment of solution quality in stochastic programs
• Performance of folded variance estimators for simulation
• On the dispersion matrix of variance estimators of the sample mean in the analysis of simulation output
• Cramér-von Mises variance estimators for simulations
• New recursive estimators of the time-average variance constant
• An Efficient Method to Determine the Degree of Overlap of Two Multivariate Distributions
• Linear combinations of overlapping variance estimators for simulation
• A three-class variance swapping technique for simulation experiments
• Extended dynamic partial-overlapping batch means estimators for steady-state simulations
• Higher-order coverage errors of batching methods via Edgeworth expansions on t-statistics
• Folded overlapping variance estimators for simulation
• Ranking and Selection Techniques with Overlapping Variance Estimators for Simulations

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