Optimal Mean-Squared-Error Batch Sizes

DOI10.1287/mnsc.41.1.110zbMath0819.62076OpenAlexW2031051057MaRDI QIDQ4838078

Wheyming Tina Song, Bruce W. Schmeiser

Publication date: 30 August 1995

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.41.1.110

zbMATH Keywords

robustnessmean squared errorconvergence ratebiasstandardized time seriessimulation output analysisoptimal batch sizeoverlapping batch meansquadratic-form estimatorsasymptotic batch-size approximationestimating variance of sample meanmarginal variancesum of autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Survival analysis and censored data (62N99) Probabilistic methods, stochastic differential equations (65C99)

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