Optimal Mean-Squared-Error Batch Sizes

DOI10.1287/MNSC.41.1.110MaRDI QIDQ4838078zbMATH OpenOpenAlexFDO

Authors Wheyming Tina Song, Bruce W. Schmeiser

Publication date 30 August 1995

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.41.1.110

zbMATH Keywords

asymptotic batch-size approximationbiasconvergence rateestimating variance of sample meanmarginal variancemean squared erroroptimal batch sizeoverlapping batch meansquadratic-form estimatorsrobustnesssimulation output analysisstandardized time seriessum of autocorrelations

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Survival analysis and censored data (62N99) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(36)

• Extended dynamic partial-overlapping batch means estimators for steady-state simulations
• Estimating the asymptotic variance with batch means
• On the estimation of optimal batch sizes in the analysis of simulation output
• Efficiency and robustness in subsampling for dependent data
• Batch variance estimators for the median of simulation output.
• On the robustness of batching estimators.
• The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis
• Large-sample normality of the batch-means variance estimator
• Folded overlapping variance estimators for simulation
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• Optimal difference-based variance estimators in time series: a general framework
• Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Linear combinations of overlapping variance estimators for simulation
• Batch size selection for variance estimators in MCMC
• Recursive estimation of time-average variance constants through prewhitening
• Properties of batched quadratic-form variance parameter estimators for simulations
• New recursive estimators of the time-average variance constant
• Asymptotics of spectral density estimates
• Variance of the Sample Mean: Properties and Graphs of Quadratic-Form Estimators
• Data-Based Choice of Batch Size for Simulation Output Analysis
• Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
• Variance estimation and sequential stopping in steady-state simulations using linear regression
• Combining standardized time series area and Cramér–von Mises variance estimators
• Simulation output analysis using the threshold bootstrap
• Batching Adaptive Variance Reduction
• Strong invariance principles for ergodic Markov processes
• Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
• Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
• Higher-order coverage errors of batching methods via Edgeworth expansions on t-statistics
• Estimating Monte Carlo variance from multiple Markov chains
• Estimating the steady-state mean from short transient simulations
• Positive-Definite Converging Kernel Estimation of Long-Run Variance
• An improved standardized time series Durbin-Watson variance estimator for steady-state simulation
• Recursive estimation of time-average variance constants
• Factor estimation using MCMC-based Kalman filter methods

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