Multivariate Batch Means and Control Variates

DOI10.1287/MNSC.38.10.1415MaRDI QIDQ4022909zbMATH OpenOpenAlexFDO

Authors Wei-Ning Yang, Barry L. Nelson

Publication date 17 January 1993

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.38.10.1415

zbMATH Keywords

interval estimatorscontrol-variate variance-reduction techniquenonoverlapping batch means output analysis methodsteady-state multivariate mean vector

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Estimation in multivariate analysis (62H12)

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(4)

• Control-variate selection criteria
• Batch size effects on the efficiency of control variates in simulation
• On generating multivariate Poisson data in management science applications
• Multivariate Simulation Output Analysis

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