Confidence interval estimation using linear combinations of overlapping variance estimators

Authors:
Tûba Aktaran-Kalayci;David Goldsman;James R. Wilson
Affiliations:
University at Buffalo, Buffalo, New York;Georgia Institute of Technology, Atlanta, GA;North Carolina State University, Raleigh, NC
Venue:
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Year:
2007

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Abstract

We develop new confidence-interval estimators for the mean and variance parameter of a steady-state simulation output process. These confidence intervals are based on optimal linear combinations of overlapping estimators for the variance parameter. We present analytical and simulation-based results exemplifying the potential of this technique for improvements in accuracy for confidence intervals.