Large-sample theory for standardized time series: an overview
WSC '85 Proceedings of the 17th conference on Winter simulation
Overlapping batch means: something for nothing?
WSC '84 Proceedings of the 16th conference on Winter simulation
Steady-state simulation of queueing processes: survey of problems and solutions
ACM Computing Surveys (CSUR)
A sequential procedure for simultaneous estimation of several means
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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One way to construct a confidence interval for the mean constant of a stochastic process, is via consistent estimation of another parameter of the process, namely, the time-average variance constant. In this paper, we discuss strong consistency of the variance estimator for several methods of steady-state output analysis. These are; Batch Means (BM), Overlapping Batch Means (OBM), Spectral methods, and finally, Standardized Time Series (the area estimator of STS). A characterization of the spectral variance estimator is also presented; it is a generalization of OBM. Another estimator, which might be called Overlapping Area estimator, connects the area estimator with spectral methods.