Large-sample normality of the batch-means variance estimator

DOI10.1016/S0167-6377(02)00156-6MaRDI QIDQ1866993zbMATH OpenFDO

Authors Yanyan Li, David Goldsman

Publication date 2 April 2003

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-6377(02)00156-6

zbMATH Keywords

batch-means estimatorstationary processessteady-state simulationvariance estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Recommendations

• Exact expected values of variance estimators for simulation
• On the estimation of optimal batch sizes in the analysis of simulation output
• Properties of batched quadratic-form variance parameter estimators for simulations
• Estimating the asymptotic variance with batch means
• Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis

Cites work

• An Investigation of Finite-Sample Behavior of Confidence Interval Estimators
• Batch Size Effects in the Analysis of Simulation Output
• Estimating the asymptotic variance with batch means
• Estimation of the mean of a stationary time series by sampling
• scientific article; zbMATH DE number 3551675 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Large-Sample Results for Batch Means
• Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
• Moment bounds for stationary mixing sequences
• Optimal Mean-Squared-Error Batch Sizes
• Planning Queueing Simulations
• The estimation of standard errors in Monte Carlo simulation experiments
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence

Cited in

(8)

• Estimating the asymptotic variance with batch means
• Properties of batch means from stationary ARMA time series
• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• Properties of batched quadratic-form variance parameter estimators for simulations
• Strong Consistency and Other Properties of the Spectral Variance Estimator
• Optimal Mean-Squared-Error Batch Sizes
• Exact expected values of variance estimators for simulation
• Strong invariance principles for ergodic Markov processes

This page was built for publication: Large-sample normality of the batch-means variance estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1866993)