Permuted Standardized Time Series for Steady-State Simulations

DOI10.1287/MOOR.1050.0183zbMATH Open1278.62138OpenAlexW2145921259MaRDI QIDQ5387983FDOQ5387983

Authors: James M. Calvin, Marvin K. Nakayama 

Publication date: 27 May 2008

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7af4c581150b72c4b93d25c0119ef6179614a51a

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zbMATH Keywords

confidence intervalsfunctional central limit theoremsteady-state simulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (4)

• Resampled regenerative estimators
• Higher-order coverage errors of batching methods via Edgeworth expansions on \(t\)-statistics
• Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
• Folded overlapping variance estimators for simulation

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