Linear combinations of overlapping variance estimators for simulation

Authors:
TíBa Aktaran-Kalaycı;David Goldsman;James R. Wilson
Affiliations:
Department of Industrial and Systems Engineering, University at Buffalo, Buffalo, NY 14260, USA;H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332, USA;Edward P. Fitts Department of Industrial and Systems Engineering, North Carolina State University, Raleigh, NC 27695, USA
Venue:
Operations Research Letters
Year:
2007

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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.