216 search results - page 2 / 44 » Overlapping Variance Estimators for Simulations |
WSC
1997
13 years 6 months ago
1997
A central quantity in steady-state simulation is the time-average variance constant. Estimates of this quantity are needed (for example) for constructing confidence intervals, an...
TSP
2010
13 years 16 hour ago
2010
The objective of this paper is twofold. The first part provides further insight in the statistical properties of the Welch power spectrum estimator. A major drawback of the Welch m...
WSC
2007
13 years 7 months ago
2007
We estimate the variance parameter of a stationary simulation-generated process using “folded” versions of standardized time series area estimators. We formulate improved vari...
WSC
1997
13 years 6 months ago
1997
A classical problem of stochastic simulation is how to estimate the variance of the sample mean of dependent but stationary outputs. Many variance estimators, such as the batch me...
WSC
2007
13 years 7 months ago
2007
We provide asymptotic expressions for the expected value and variance of the replicated batch means variance estimator when the stochastic process being simulated has an additive ...