A comparison between standardized time series and overlapping batched means

  • Authors:

  • David Goldsman;Marc S. Meketon

  • Affiliations:

  • School of ISyE, Georgia Institute of Technology, Atlanta, GA;Operations Research Department, AT&T Bell Laboratories, Holmdel, NJ

  • Venue:
  • WSC '85 Proceedings of the 17th conference on Winter simulation
  • Year:
  • 1985

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Abstract

We study several methods for estimating the variance of the sample mean from a stationary stochastic process. Particular emphasis is placed on comparing the recently introduced methods of standardized time series and overlapping batched means. Comparison criteria include estimator bias and variance.