Performance of folded variance estimators for simulation

DOI10.1145/1842713.1842714MaRDI QIDQ4635150zbMATH OpenOpenAlexFDO

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)

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(7)

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

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