A guide to simulation (2nd ed.)
A guide to simulation (2nd ed.)
Management Science
New confidence interval estimators using standardized time series
Management Science
Properties of standardized time series weighted area variance estimators
Management Science
Simulation output analysis using standardized time series
Mathematics of Operations Research
Mathematica: a system for doing mathematics by computer (2nd ed.)
Mathematica: a system for doing mathematics by computer (2nd ed.)
An investigation of finite-sample behavior of confidence interval estimators
Operations Research
Variance of the sample mean: properties and graphs of quadratic-form estimators
Operations Research
Optimal mean-squared-error batch sizes
Management Science
Large-sample results for batch means
Management Science
Confidence intervals and orthonormally weighted standardized time series
WSC '88 Proceedings of the 20th conference on Winter simulation
Overlapping batch means: something for nothing?
WSC '84 Proceedings of the 16th conference on Winter simulation
Permuted weighted area estimators
WSC '04 Proceedings of the 36th conference on Winter simulation
Overlapping variance estimators for simulations
WSC '04 Proceedings of the 36th conference on Winter simulation
Review of advanced methods for simulation output analysis
WSC '05 Proceedings of the 37th conference on Winter simulation
Linear combinations of overlapping variance estimators for simulations
WSC '05 Proceedings of the 37th conference on Winter simulation
A comprehensive review of methods for simulation output analysis
Proceedings of the 38th conference on Winter simulation
Statistical analysis of simulation output: state of the art
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Confidence interval estimation using linear combinations of overlapping variance estimators
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Folded standardized time series area variance estimators for simulation
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Proceedings of the 40th Conference on Winter Simulation
Performance of folded variance estimators for simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Linear combinations of overlapping variance estimators for simulation
Operations Research Letters
Thirty years of "batch size effects"
Proceedings of the Winter Simulation Conference
Overlapping batch means: something more for nothing?
Proceedings of the Winter Simulation Conference
On the mean-squared error of variance estimators for computer simulations
Proceedings of the Winter Simulation Conference
Reflected variance estimators for simulation
Proceedings of the Winter Simulation Conference
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We extend the standardized time series area method for constructing confidence intervals for the mean of a stationary stochastic process. The proposed intervals are based on orthonormally weighted standardized time series area variance estimators. The underlying area estimators possess two important properties: they are first-order unbiased, and they are asymptotically independent of each other. These properties are largely the result of a careful choice of weighting functions, which we explicitly describe. The asymptotic independence of the area estimators yields more degrees of freedom than various predecessors; this, in turn, produces smaller mean and variance of the length of the resulting confidence intervals. We illustrate the efficacy of the new procedure via exact and Monte Carlo examples. We also provide suggestions for efficient implementation of the method.