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2007

Folded standardized time series area variance estimators for simulation

3 years 11 months ago
Folded standardized time series area variance estimators for simulation
We estimate the variance parameter of a stationary simulation-generated process using “folded” versions of standardized time series area estimators. We formulate improved variance estimators based on the combination of multiple folding levels as well as the use of batching. The improved estimators preserve the asymptotic bias properties of their predecessors but have substantially lower variance. A Monte Carlo example demonstrates the efficacy of the new methodology.
Claudia Antonini, Christos Alexopoulos, David Gold
Added 02 Oct 2010
Updated 02 Oct 2010
Type Conference
Year 2007
Where WSC
Authors Claudia Antonini, Christos Alexopoulos, David Goldsman, James R. Wilson
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