Overlapping Variance Estimators for Simulation

DOI10.1287/OPRE.1070.0475zbMATH Open1167.62390OpenAlexW2106767915MaRDI QIDQ3392136FDOQ3392136

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

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

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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)

Cited In (15)

• 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.
• 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
• 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
• Overlapping Batches for the Assessment of Solution Quality in Stochastic Programs
• Ranking and Selection Techniques with Overlapping Variance Estimators for Simulations

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