Spaced batch means

Authors:
Bennett L. Fox;David Goldsman;James J. Swain
Affiliations:
Department of Mathematics, Campus Box 170, University of Colorado, Denver, CO 80217-3364, USA;School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332, USA;Management Science Department, School of Business Administration, University of Miami, Coral Gables, FL 33124-6520, USA
Venue:
Operations Research Letters
Year:
1991

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Abstract

We examine a variant of the familiar batch means (BM) method for analysis of a stationary (simulation) process. Our spaced batch means (SBM) method attempts to reduce the bad effects of interbatch correlation by inserting spacers between the batches of observations. We present analytical examples in which SBM yields an estimator for the variance parameter that is less biased than the corresponding BM estimator. We also give analytical examples in which SBM improves coverage of confidence intervals for the mean of the process. Under negative serial correlation, SBM sometimes fares significantly better than BM; under positive serial correlation, SBM usually does only a bit better than BM.