A maximum-likelihood interpretation of batch means estimators

  • Authors:

  • Kevin J. Healy

  • Affiliations:

  • School of Industrial Engineering, Purdue University, West Lafayette, IN

  • Venue:
  • WSC '95 Proceedings of the 27th conference on Winter simulation
  • Year:
  • 1995

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Abstract

We show how the classical batch means estimator of the variance parameter of a strictly stationary dependent stochastic process can be viewed as a maximum likelihood estimator based on asymptotic properties of the standardized time series of observations from the process.