Overlapping Variance Estimators for Simulation
Published Online:1 Dec 2007https://doi.org/10.1287/opre.1070.0475
References
- , Balakrishnan N., Read C. B., Vidakovic B. Stationary processes: Statistical estimation. Encyclopedia of Statistical Sciences (2006) 122nd ed.(Wiley Interscience, Hoboken, NJ) 7991–8006Crossref, Google Scholar
- Properties of batched quadratic-form variance parameter estimators for simulations. INFORMS J. Comput. (2000) 13:149–156Link, Google Scholar
- , Ingalls R. G., Rossetti M. D., Smith J. S., Peters B. A. Overlapping variance estimators for simulations. Proc. 2004 Winter Simulation Conf. (2004) (Institute of Electrical and Electronics Engineers, Piscataway, NJ) 737–745Crossref, Google Scholar
- Electronic companion to “Overlapping variance estimators for simulation. Oper. Res. (2007a) . http://or.journal.informs.orgGoogle Scholar
- Efficient computation of overlapping variance estimators for simulation. INFORMS J. Comput. (2007b) 19:314–327Link, Google Scholar
- Mathematical Analysis (1974) 2nd ed.(Addison-Wesley, Reading, MA) Google Scholar
- Convergence of Probability Measures (1968) (John Wiley & Sons, New York) Google Scholar
- A Guide to Simulation (1987) 2nd ed.(Springer-Verlag, New York) Crossref, Google Scholar
- Large-sample results for batch means. Management Sci. (1997) 43:1288–1295Link, Google Scholar
- Strong consistency and other properties of the spectral variance estimator. Management Sci. (1991) 37:1424–1440Link, Google Scholar
- Strong consistency of the variance estimator in steady-state simulation output analysis. Math. Oper. Res. (1994) 19:494–512Link, Google Scholar
- Mean-square consistency of the variance estimator in steady-state simulation output analysis. Oper. Res. (1995) 43:282–291Link, Google Scholar
- Confidence intervals using orthonormally weighted standardized time series. ACM Trans. Model. Comp. Simulation (1999) 9:297–325Crossref, Google Scholar
- Simulation output analysis using standardized time series. Math. Oper. Res. (1990) 15:1–16Link, Google Scholar
- Estimating the asymptotic variance with batch means. Oper. Res. Lett. (1991) 10:431–435Crossref, Google Scholar
- A comparison of several variance estimators. (1986) . Technical Report J-85-12, School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GAGoogle Scholar
- New confidence interval estimators using standardized time series. Management Sci. (1990) 36:393–397Link, Google Scholar
- Cramér–von Mises variance estimators for simulations. Oper. Res. (1999) 47:299–309Link, Google Scholar
- Properties of standardized time series weighted area variance estimators. Management Sci. (1990) 36:602–612Link, Google Scholar
- Simulation Modeling and Analysis (2000) 3rd ed.(McGraw-Hill, New York) Google Scholar
- Probability Theory I (1977) 4th ed.(Springer-Verlag, New York) Crossref, Google Scholar
- , Sheppard S., Pooch U., Pegden D. Overlapping batch means: Something for nothing? Proc. 1984 Winter Simulation Conf. (1984) (Institute of Electrical and Electronics Engineers, Piscataway, NJ) 227–230Google Scholar
- Handbook of the Normal Distribution (1996) 2nd ed.(Marcel Dekker, New York) Google Scholar
- , Evans G. W., Mollaghasemi M., Russell E. C., Biles W. E. Asymptotic and finite-sample correlations between OBM estimators. Proc. 1993 Winter Simulation Conf. (1993) (Institute of Electrical and Electronics Engineers, Piscataway, NJ) 481–488Crossref, Google Scholar
- Estimating the variance of the sample mean: Optimal batch-size estimation and 1-2-1 overlapping batch means. (1994) . Technical Report SMS94-3, School of Industrial Engineering, Purdue University, West Lafayette, INGoogle Scholar
- Batch size effects in the analysis of simulation output. Oper. Res. (1982) 30:556–568Link, Google Scholar
- Confidence interval estimation using standardized time series. Oper. Res. (1983) 31:1090–1108Link, Google Scholar
- Estimators of the variance of the sample mean: Quadratic forms, optimal batch sizes, and linear combinations. (1988) . Ph.D. dissertation, School of Industrial Engineering, Purdue University, West Lafayette, INGoogle Scholar
- Variance of the sample mean: Properties and graphs of quadratic-form estimators. Oper. Res. (1993) 41:501–517Link, Google Scholar
- Optimal mean-squared-error batch sizes. Management Sci. (1995) 41:110–123Link, Google Scholar
- Convergence properties of the batch-means method for simulation output analysis. INFORMS J. Comput. (2001) 13:277–293Link, Google Scholar
- , Thesen A., Grant H., Kelton W. D. On the relationship between batch means, overlapping batch means and spectral estimation. Proc. 1987 Winter Simulation Conf. (1987) (Institute of Electrical and Electronics Engineers, Piscataway, NJ) 320–323Crossref, Google Scholar

