Article ID Journal Published Year Pages File Type
1143086 Operations Research Letters 2007 9 Pages PDF
Abstract
We estimate the variance parameter of a stationary simulation-generated process using a linear combination of overlapping standardized time series (STS) area variance estimators based on different batch sizes. We establish the linear-combination estimator's asymptotic distribution, presenting analytical and simulation-based results exemplifying its potential for improvements in accuracy and computational efficiency.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Preview
Linear combinations of overlapping variance estimators for simulation
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