Weighted Batch Means for Confidence Intervals in Steady-State Simulations

DOI10.1287/MNSC.39.8.1002MaRDI QIDQ4276609zbMATH OpenOpenAlexFDO

Authors Diane P. Bischak, W. David Kelton, Stephen M. Pollock

Publication date 3 May 1994

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.39.8.1002

zbMATH Keywords

confidence intervalsbatch meansdiscrete-time and covariance- stationary stochastic processes

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Parametric tolerance and confidence regions (62F25) Stationary stochastic processes (60G10)

Recommendations

• Estimating the steady-state mean from short transient simulations
• Replicated batch means for steady-state simulations
• Arma-Based Confidence Intervals for Simulation Output Analysis
• Autoregressive-output-analysis methods revisited
• An Implementation of the Batch Means Method

Cited in

(6)

• Arma-Based Confidence Intervals for Simulation Output Analysis
• Simulation output analysis using the threshold bootstrap
• ASAP3: a batch means procedure for steady-state simulation analysis
• Estimating the steady-state mean from short transient simulations
• An Investigation of Finite-Sample Behavior of Confidence Interval Estimators
• Properties of batch means from stationary ARMA time series

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