Large-Sample Results for Batch Means

DOI10.1287/MNSC.43.9.1288MaRDI QIDQ4364353zbMATH OpenOpenAlexFDO

Authors Chiahon Chien, David Goldsman, Benjamin Melamed

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)

Cited in

(13)

• Large-sample normality of the batch-means variance estimator
• Folded overlapping variance estimators for simulation
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• A wavelet-based spectral procedure for steady-state simulation analysis
• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• New recursive estimators of the time-average variance constant
• Using excursion 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
• Batching Adaptive Variance Reduction
• Strong invariance principles for ergodic Markov processes
• An improved standardized time series Durbin-Watson variance estimator for steady-state simulation

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