A guide to simulation (2nd ed.)
A guide to simulation (2nd ed.)
Time Series Analysis, Forecasting and Control
Time Series Analysis, Forecasting and Control
Overlapping batch means: something for nothing?
WSC '84 Proceedings of the 16th conference on Winter simulation
Coverage error for confidence intervals arising in simulation output analysis
WSC '82 Proceedings of the 14th conference on Winter Simulation - Volume 2
Steady-state simulation of queueing processes: survey of problems and solutions
ACM Computing Surveys (CSUR)
Ranking and selection procedures using standardized time series
WSC '85 Proceedings of the 17th conference on Winter simulation
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One of the pitfalls encountered when using confidence interval estimators for the mean of a stationary stochastic process is that the mean and variance estimators (X and V) may be correlated. We derive Corr (X, V) for various variance estimators and stochastic processes, and we examine the effects of this correlation upon confidence interval estimator performance. Among the variance estimators under consideration are those arising from the methods of batched means and standardized time series. Both small sample and asymptotic results are reported.