Overlapping Variance Estimators for Simulation

DOI10.1287/OPRE.1070.0475MaRDI QIDQ3392136zbMATH OpenOpenAlexFDO

Authors Christos Alexopoulos, Nilay Tanık Argon, David Goldsman, Gamze Tokol, James R. Wilson

Publication date 13 August 2009

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.1070.0475

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(21)

• Combining standardized time series area and Cramér–von Mises variance estimators
• Exact expected values of variance estimators for simulation
• Overlapping batches for the assessment of solution quality in stochastic programs
• An improved standardized time series Durbin-Watson variance estimator for steady-state simulation
• Performance of folded variance estimators for simulation
• Variance of the Sample Mean: Properties and Graphs of Quadratic-Form Estimators
• On the dispersion matrix of variance estimators of the sample mean in the analysis of simulation output
• Cramér-von Mises variance estimators for simulations
• On the robustness of batching estimators.
• Simulation output analysis using integrated paths. II: Low bias estimators
• New recursive estimators of the time-average variance constant
• A Note on the Simulation of Overdispersed Random Variables With Specified Marginal Means and Product Correlations
• Linear combinations of overlapping variance estimators for simulation
• A three-class variance swapping technique for simulation experiments
• Extended dynamic partial-overlapping batch means estimators for steady-state simulations
• Higher-order coverage errors of batching methods via Edgeworth expansions on \(t\)-statistics
• Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
• Folded overlapping variance estimators for simulation
• Variance estimation and sequential stopping in steady-state simulations using linear regression
• Ranking and Selection Techniques with Overlapping Variance Estimators for Simulations
• Efficient computation of overlapping variance estimators for simulation

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