Confidence intervals and orthonormally weighted standardized time series

Authors:
Robert D. Foley;David Goldsman
Affiliations:
School of ISyE, Georgia Tech Atlanta, Georgia;School of ISyE, Georgia Tech, Atlanta, Georgia
Venue:
WSC '88 Proceedings of the 20th conference on Winter simulation
Year:
1988

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Abstract

We find new confidence intervals for the mean of a stationary process. The new intervals are based on orthonormally weighted standardized time series and asymptotically have smaller half-length mean and variance than their predecessors.