Output analysis: output data analysis for simulations
Proceedings of the 33nd conference on Winter simulation
Statistical analysis of simulation output: output data analysis for simulations
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
An improved standardized time series Durbin-Watson variance estimator for steady-state simulation
Operations Research Letters
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We examine the practice of batching of certain quadratic-form estimators for the variance parameter of a stochastic process. The class of batched quadratic-form estimators includes, among others, the standardized time series (STS) weighted area and weighted Cram脙©r-von Mises estimators. We give results on the expected value and variance of such estimators as the batch size and/or the number of batches increase. In particular, we show that the above STS estimators are consistent for the variance parameter in terms of mean squared error. An analytical example involving a first-order autoregressive process illustrates our findings.