Batch variance estimators for the median of simulation output.

DOI10.1016/S0167-6377(98)00027-3zbMATH Open1067.65504OpenAlexW2084359476MaRDI QIDQ1306389FDOQ1306389

Authors: V. Pereyra 

Publication date: 1998

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

Full work available at URL: https://doi.org/10.1016/s0167-6377(98)00027-3

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zbMATH Keywords

EfficiencyQuantileAutocorrelationHeavy tails

Mathematics Subject Classification ID

Point estimation (62F10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites Work

• Approximation Theorems of Mathematical Statistics
• The jackknife and the bootstrap for general stationary observations
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• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Confidence Interval Estimation Using Standardized Time Series
• Optimal Mean-Squared-Error Batch Sizes
• Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
• Batch Size Effects in the Analysis of Simulation Output
• On Robust Procedures
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• Data-Based Choice of Batch Size for Simulation Output Analysis
• Spaced batch means
• Asymptotic Properties of Some Confidence Interval Estimators for Simulation Output

Cited In (1)

• On the robustness of batching estimators.

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