Properties of batched quadratic-form variance parameter estimators for simulations

DOI10.1287/IJOC.13.2.149.10518zbMATH Open1238.62097OpenAlexW2151318511MaRDI QIDQ2884501FDOQ2884501

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

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Mathematics Subject Classification ID

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

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
• Variance of the Sample Mean: Properties and Graphs of Quadratic-Form Estimators
• Batch variance estimators for the median of simulation output.
• Estimating the asymptotic variance with batch means
• Combining standardized time series area and Cramér–von Mises variance estimators

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