The art of computer programming, volume 1 (3rd ed.): fundamental algorithms
The art of computer programming, volume 1 (3rd ed.): fundamental algorithms
Overlapping batch means: something for nothing?
WSC '84 Proceedings of the 16th conference on Winter simulation
Simulation output analysis using integrated paths
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Efficient Computation of Overlapping Variance Estimators for Simulation
INFORMS Journal on Computing
Simulation output analysis using integrated paths II: Low bias estimators
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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We consider the problem of estimating the time-average variance constant for a stationary process. A previous paper described an approach based on multiple integrations of the simulation output path, and described the efficiency improvement that can result compared with the method of batch means (which is a special case of the method). In this paper we describe versions of the method that have low bias for moderate simulation run lengths. The method constructs an estimator based on applying a quadratic function to the simulation output. The particular quadratic form is chosen to minimize variance subject to constraints on the order of the bias. Estimators that are first-order and second-order unbiased are described.