The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis
DOI10.1016/J.EJOR.2018.11.059zbMATH Open1430.62190OpenAlexW2904142032WikidataQ128776828 ScholiaQ128776828MaRDI QIDQ1719643FDOQ1719643
Authors: Wheyming Tina Song
Publication date: 11 February 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2018.11.059
Recommendations
- On the estimation of optimal batch sizes in the analysis of simulation output
- Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
- Optimal Mean-Squared-Error Batch Sizes
- Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
- Extended dynamic partial-overlapping batch means estimators for steady-state simulations
simulationimplementable Song rulesmallest-batch-sizes linear combinationthe variance of the sample mean
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Confidence Interval Estimation Using Standardized Time Series
- Optimal Mean-Squared-Error Batch Sizes
- On the estimation of optimal batch sizes in the analysis of simulation output
- Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
- Batch Size Effects in the Analysis of Simulation Output
- Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations
- Linear combinations of overlapping variance estimators for simulation
- Combining standardized time series area and Cramér–von Mises variance estimators
- Exact expected values of variance estimators for simulation
- Spaced batch means
- Omitting meaningless digits in point estimates: The probability guarantee of leading-digit rules
- Estimating Sample Size in Computing Simulation Experiments
- A Finite-Memory Algorithm for Batch Means Estimators in Simulation Output Analysis
- Variance Reduction Techniques on Generating M/M/1 Processes in Simulation Output Analysis
This page was built for publication: The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1719643)