Performance of folded variance estimators for simulation

DOI10.1145/1842713.1842714MaRDI QIDQ4635150zbMATHOpenAlexFDO

Authors Christos Alexopoulos, Claudia Antonini, David Goldsman, Melike Meterelliyoz

Publication date 16 April 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/1842713.1842714

zbMATH Keywords

standardized time seriessteady-state simulationsimulation output analysismethod of batch meansfolded estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

Recommendations

• Folded overlapping variance estimators for simulation
• Overlapping Variance Estimators for Simulation
• Efficient computation of overlapping variance estimators for simulation
• Cramér-von Mises variance estimators for simulations
• Exact expected values of variance estimators for simulation
• Properties of batched quadratic-form variance parameter estimators for simulations
• Linear combinations of overlapping variance estimators for simulation
• The Asymptotic Efficiency of Simulation Estimators

Cited in

(7)

• Cramér-von Mises variance estimators for simulations
• Folded overlapping variance estimators for simulation
• Variance and derivative estimation of virtual performance
• Combining standardized time series area and Cramér–von Mises variance estimators
• Simulation output analysis using integrated paths. II: Low bias estimators
• Properties of batched quadratic-form variance parameter estimators for simulations
• Overlapping Variance Estimators for Simulation

This page was built for publication: Performance of folded variance estimators for simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4635150)