Simulation output analysis using standardized time series
Mathematics of Operations Research
Large-sample normality of the batch-means variance estimator
Operations Research Letters
Thirty years of "batch size effects"
Proceedings of the Winter Simulation Conference
Overlapping batch means: something more for nothing?
Proceedings of the Winter Simulation Conference
On the mean-squared error of variance estimators for computer simulations
Proceedings of the Winter Simulation Conference
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We show that there is no batch-means estimation procedure for consistently estimating the asymptotic variance when the number of batches is held fixed as the run length increases. This result suggests that the number of batches should increase as the run length increases for sequential stopping rules based on batch means.