Estimating the asymptotic variance with batch means

DOI10.1016/0167-6377(91)90019-LzbMath0744.62113MaRDI QIDQ1183382

Ward Whitt, Peter W. Glynn

Publication date: 28 June 1992

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

zbMATH Keywords

consistency; asymptotic variance; sequential stopping rules; run length; batch-means estimation procedure; number of batches

Mathematics Subject Classification ID

62C99: Statistical decision theory

62L12: Sequential estimation

62L15: Optimal stopping in statistics

Related Items

Combining standardized time series area and Cramér–von Mises variance estimators, New recursive estimators of the time-average variance constant, Markov chain Monte Carlo: can we trust the third significant figure?, Spaced batch means, Multiple-comparison procedures for steady-state simulations, Large-sample normality of the batch-means variance estimator, Folded overlapping variance estimators for simulation, Statistical inference for model parameters in stochastic gradient descent, Batch means and spectral variance estimators in Markov chain Monte Carlo

Cites Work

• The asymptotic validity of sequential stopping rules for stochastic simulations
• Simulation Output Analysis Using Standardized Time Series
• Batch Size Effects in the Analysis of Simulation Output
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