Data-Based Choice of Batch Size for Simulation Output Analysis

DOI10.1177/003754979807100104zbMATH Open1037.68813OpenAlexW2033957673MaRDI QIDQ4420120FDOQ4420120

Authors:

Publication date: 1998

Published in: SIMULATION (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/003754979807100104

Recommendations

• On the estimation of optimal batch sizes in the analysis of simulation output
• Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
• Optimal Mean-Squared-Error Batch Sizes
• On the dispersion matrix of variance estimators of the sample mean in the analysis of simulation output
• An Implementation of the Batch Means Method

zbMATH Keywords

variance estimationbatch mean estimator

Mathematics Subject Classification ID

Cites Work

• Approximation Theorems of Mathematical Statistics
• The jackknife and the bootstrap for general stationary observations
• Cox's regression model for counting processes: A large sample study
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Simulation Output Analysis Using Standardized Time Series
• Optimal Mean-Squared-Error Batch Sizes
• Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
• The asymptotic distribution theory of the empiric cdf for mixing stochastic processes
• Title not available (Why is that?)
• An Investigation of Finite-Sample Behavior of Confidence Interval Estimators
• Title not available (Why is that?)
• Spaced batch means

Cited In (10)

• To batch or not to batch?
• Bootstrapping stationary sequences by the Nadaraya-Watson regression estimator
• Recursive estimation of time-average variance constants
• NONPARAMETRIC ESTIMATION OF THE VARIANCE OF SAMPLE MEANS BASED ON NONSTATIONARY SPATIAL DATA
• Batch size selection for variance estimators in MCMC
• Batch variance estimators for the median of simulation output.
• Automatic run-time choice for simulation length in mimesis
• Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
• Replicated batch means variance estimators in the presence of an initial transient
• Subsampling confidence intervals for parameters of atmospheric time series: block size choice and calibration

This page was built for publication: Data-Based Choice of Batch Size for Simulation Output Analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4420120)