Variance of the sample mean: properties and graphs of quadratic-form estimators
Operations Research
Optimal mean-squared-error batch sizes
Management Science
On the relationship between batch means, overlapping means and spectral estimation
WSC '87 Proceedings of the 19th conference on Winter simulation
WSC' 90 Proceedings of the 22nd conference on Winter simulation
Batching methods for simulation output analysis: a stopping procedure based on phi-mixing conditions
Proceedings of the 32nd conference on Winter simulation
Experimental performance evaluation of batch means procedures for simulation output analysis
Proceedings of the 32nd conference on Winter simulation
On the MSE robustness of batching estimators
Proceedings of the 33nd conference on Winter simulation
On the MSE robustness of batching estimators
Proceedings of the 33nd conference on Winter simulation
Cramer-Von Mises Variance Estimators for Simulations
Operations Research
Overlapping batch means: something for nothing?
WSC '84 Proceedings of the 16th conference on Winter simulation
Simulation output analysis: a tutorial based on one research thread
WSC '04 Proceedings of the 36th conference on Winter simulation
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We propose and investigate an alternative definition of robustness for estimators of the variance of the sample mean arising in steady-state simulation experiments. The alternative definition implies that-of all known batching estimators-overlapping-batch-means estimators have both optimal mean squared error and optimal robustness.