Properties of batched quadratic-form variance parameter estimators for simulations

DOI10.1287/IJOC.13.2.149.10518MaRDI QIDQ2884501zbMATHOpenAlexFDO

Authors Christos Alexopoulos, David Goldsman, Gamze Tokol

Publication date 30 May 2012

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.13.2.149.10518

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cited in

(7)

• An improved standardized time series Durbin-Watson variance estimator for steady-state simulation
• Performance of folded variance estimators for simulation
• Large-sample normality of the batch-means variance estimator
• Batch variance estimators for the median of simulation output.
• Combining standardized time series area and Cramér–von Mises variance estimators
• Variance of the Sample Mean: Properties and Graphs of Quadratic-Form Estimators
• Estimating the asymptotic variance with batch means

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