The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis

DOI10.1016/J.EJOR.2018.11.059MaRDI QIDQ1719643zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

simulationimplementable Song rulesmallest-batch-sizes linear combinationthe variance of the sample mean

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3103039 (Why is no real title available?)
• A Finite-Memory Algorithm for Batch Means Estimators in Simulation Output Analysis
• Batch Size Effects in the Analysis of Simulation Output
• Combining standardized time series area and Cramér–von Mises variance estimators
• Confidence Interval Estimation Using Standardized Time Series
• Estimating Sample Size in Computing Simulation Experiments
• Exact expected values of variance estimators for simulation
• Linear combinations of overlapping variance estimators for simulation
• Omitting meaningless digits in point estimates: The probability guarantee of leading-digit rules
• On the estimation of optimal batch sizes in the analysis of simulation output
• Optimal Mean-Squared-Error Batch Sizes
• Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
• Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations
• Spaced batch means
• Variance Reduction Techniques on Generating M/M/1 Processes in Simulation Output Analysis

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