Note—New Confidence Interval Estimators Using Standardized Time Series

DOI10.1287/MNSC.36.3.393MaRDI QIDQ3203857zbMATH OpenOpenAlexFDO

Authors David Goldsman, Lee W. Schruben

Publication date 1990

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.36.3.393

zbMATH Keywords

asymptotically valid confidence interval estimatorsgeneralizations of Schruben's standardized time series area CIEmean of a stationary simulation processsimulation output analysisstandardized time series

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Properties of Standardized Time Series Weighted Area Variance Estimators
• Asymptotic Properties of Some Confidence Interval Estimators for Simulation Output
• Confidence intervals using orthonormally weighted standardized time series
• Confidence Interval Estimation Using Standardized Time Series
• An Investigation of Finite-Sample Behavior of Confidence Interval Estimators

Cited in

(13)

• Linear combinations of overlapping variance estimators for simulation
• Properties of Standardized Time Series Weighted Area Variance Estimators
• Asymptotic Properties of Some Confidence Interval Estimators for Simulation Output
• Confidence Interval Estimation Using Standardized Time Series
• Simulation Output Analysis Using Standardized Time Series
• Ranking and Selection Techniques with Overlapping Variance Estimators for Simulations
• An Investigation of Finite-Sample Behavior of Confidence Interval Estimators
• Confidence intervals using orthonormally weighted standardized time series
• Comparison of pivotals for confidence bounds and intervals for the mean of a stationary time series
• Variance estimation and sequential stopping in steady-state simulations using linear regression
• Combining standardized time series area and Cramér–von Mises variance estimators
• Higher-order coverage errors of batching methods via Edgeworth expansions on t-statistics
• Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation

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