Variance of the Sample Mean: Properties and Graphs of Quadratic-Form Estimators

DOI10.1287/OPRE.41.3.501MaRDI QIDQ4202454zbMATH OpenOpenAlexFDO

Authors Wheyming Tina Song, Bruce W. Schmeiser

Publication date 24 November 1993

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.41.3.501

zbMATH Keywords

covariance-stationary processdata reversibilityestimator biaslocation invariancenonnegativitynonoverlapping batch meansoverlapping batchesquadratic-form estimatorsspectral estimatorsstandardized time series estimatorsstochastic simulationvariance sample mean

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

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Cited in

(7)

• On the estimation of optimal batch sizes in the analysis of simulation output
• On the robustness of batching estimators.
• Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
• Properties of batched quadratic-form variance parameter estimators for simulations
• New recursive estimators of the time-average variance constant
• VARIANCE ESTIMATION FOR QUADRATIC STATISTICS
• Overlapping batches for the assessment of solution quality in stochastic programs

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