Large and small sample comparisons of various variance estimators

Authors:
David Goldsman;Keebom Kang;Robert G. Sargent
Affiliations:
School of ISyE, Georgia Institute of Technology, Atlanta, GA;Department of I.E., University of Miami, Coral Gables, FL;Department of IE & OR, Syracuse University, Syracuse, NY
Venue:
WSC '86 Proceedings of the 18th conference on Winter simulation
Year:
1986

Citing 3
Cited 5

A guide to simulation (2nd ed.)

A guide to simulation (2nd ed.)
Principles of Discrete Event Simulation

Principles of Discrete Event 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)
An approach to detecting changes in the factors affecting the performance of computer systems

SIGMETRICS '91 Proceedings of the 1991 ACM SIGMETRICS conference on Measurement and modeling of computer systems
Experimental evaluation of confidence interval procedures in sequential steady-state simulation

WSC '96 Proceedings of the 28th conference on Winter simulation
Correlation among estimators of the variance of the sample mean

WSC '87 Proceedings of the 19th conference on Winter simulation
On the dispersion matrix of variance estimators of the sample mean in the analysis of simulation output

Operations Research Letters

Quantified Score

Hi-index	0.00

Visualization

Abstract

The objective of this report is to investigate the behavior of various variance estimators arising in computer simulation experiments. We give large and small sample results pertaining to the bias, variance, and confidence interval performance of nonoverlapping batched means, overlapping batched means, and standardized time series estimators.