Properties of batch means from stationary ARMA time series

Authors:
Keebom Kang;Bruce Schmeiser
Affiliations:
Department of Industrial Engineering, University of Miami, Coral Gables, FL 33124, USA;School of Industrial Engineering, Purdue University, West Lafayette, IN 47907, USA
Venue:
Operations Research Letters
Year:
1987

Citing 2
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Time Series Analysis, Forecasting and Control

Time Series Analysis, Forecasting and Control
Interactive analysis of simulation output by the method of batch means

WSC '79 Proceedings of the 11th conference on Winter simulation - Volume 2

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Abstract

The batch-means process arising from an arbitary autoregressive moving-average (ARMA) process time series is derived. As side results, the variance and correlation structures of the batch-means process as functions of the batch size and parameters of the original process are obtained. Except for the first-order ARMA process, for which a closed-form expression is obtained, the parameters of the batch-means process are determined numerically.