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Linear combinations of overlapping variance estimators for simulation

✍ Scribed by Tûba Aktaran-Kalaycı; David Goldsman; James R. Wilson

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
198 KB
Volume
35
Category
Article
ISSN
0167-6377

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✦ Synopsis

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.

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