Properties of Standardized Time Series Weighted Area Variance Estimators

DOI10.1287/mnsc.36.5.602zbMath0716.62038MaRDI QIDQ3203858

David Goldsman, Marc S. Meketon, Lee W. Schruben

Publication date: 1990

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.36.5.602

zbMATH Keywords

asymptotic bias; standardized time series; simulation output analysis; asymptotically valid confidence interval estimators; bias of the weighted area variance estimator; continuous-time stationary stochastic process; mean of a stationary stochastic process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F25: Parametric tolerance and confidence regions

65C05: Monte Carlo methods

Related Items

BOUNDARY CROSSING PROBABILITIES FOR THE CUMULATIVE SAMPLE MEAN, Estimation Methods for Delays in Non-regenerative Discrete-Event Systems, Variance estimation and sequential stopping in steady-state simulations using linear regression, Combining standardized time series area and Cramér–von Mises variance estimators, An improved standardized time series Durbin-Watson variance estimator for steady-state simulation, Folded overlapping variance estimators for simulation, Linear combinations of overlapping variance estimators for simulation