Replicated batch means for steady-state simulations

DOI10.1002/NAV.20158MaRDI QIDQ3423278zbMATH OpenOpenAlexFDO

Authors Nilay Tanık Argon, Sigrún Andradóttir

Publication date 20 February 2007

Published in Naval Research Logistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/nav.20158

zbMATH Keywords

batch meansconfidence interval estimationinitialization methodsmultiple replications

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(16)

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• Weighted Batch Means for Confidence Intervals in Steady-State Simulations
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• A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean
• An Implementation of the Batch Means Method
• To batch or not to batch?
• ASAP3: a batch means procedure for steady-state simulation analysis
• Replicated batch means variance estimators in the presence of an initial transient
• Performance of sequential batching-based methods of output data analysis in distributed steady-state stochastic simulation.
• Performance evaluation of output analysis methods in steady-state simulations
• Estimating Monte Carlo variance from multiple Markov chains
• Covariance-free bifidelity control variates importance sampling for rare event reliability analysis
• Estimating the steady-state mean from short transient simulations
• On the validity of the batch quantile method for Markov chains

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