Properties of standardized time series weighted area variance estimators
Management Science
Optimal mean-squared-error batch sizes
Management Science
On batch means in the simulation and statistics communities
WSC '95 Proceedings of the 27th conference on Winter simulation
Large-sample results for batch means
Management Science
Confidence intervals using orthonormally weighted standardized time series
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Cramer-Von Mises Variance Estimators for Simulations
Operations Research
Convergence Properties of the Batch Means Method for Simulation Output Analysis
INFORMS Journal on Computing
Overlapping batch means: something for nothing?
WSC '84 Proceedings of the 16th conference on Winter simulation
Overlapping Variance Estimators for Simulation
Operations Research
Estimating the asymptotic variance with batch means
Operations Research Letters
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Given an output process generated by a steady-state simulation, we give expressions for the mean-squared error (MSE) of several well-known estimators of the associated variance parameter. The variance estimators are based on the method of nonoverlapping batch means and on the method of standardized time series applied to overlapping batch means. Under certain conditions, the resulting expressions are used to minimize the MSE with respect to the batch size, where the optimal batch size is expressed as a function of the simulation run length and certain moment properties of the output process. The ultimate objective is to exploit these results to construct new variance estimators with improved accuracy and efficiency, and to provide useful guidelines on setting the batch size in practice.