Weighted Batch Means for Confidence Intervals in Steady-State Simulations

DOI10.1287/MNSC.39.8.1002zbMATH Open0786.65132OpenAlexW2169224483MaRDI QIDQ4276609FDOQ4276609

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

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

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)

Cited In (6)

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

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