Properties of Standardized Time Series Weighted Area Variance Estimators

DOI10.1287/MNSC.36.5.602MaRDI QIDQ3203858zbMATH OpenOpenAlexFDO

Authors David Goldsman, Marc S. Meketon, 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.36.5.602

zbMATH Keywords

asymptotic biasasymptotically valid confidence interval estimatorsbias of the weighted area variance estimatorcontinuous-time stationary stochastic processmean of a stationary stochastic 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)

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(12)

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• Estimation Methods for Delays in Non-regenerative Discrete-Event Systems
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• Variance estimation and sequential stopping in steady-state simulations using linear regression
• Combining standardized time series area and Cramér–von Mises variance estimators
• Strong invariance principles for ergodic Markov processes
• Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
• An improved standardized time series Durbin-Watson variance estimator for steady-state simulation

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