TY - GEN
T1 - Folded standardized time series area variance estimators for simulation
AU - Antonini, Claudia
AU - Alexopoulos, Christos
AU - Goldsman, David
AU - Wilson, James R.
PY - 2007
Y1 - 2007
N2 - 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.
AB - 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.
UR - https://www.scopus.com/pages/publications/49749144115
U2 - 10.1109/WSC.2007.4419635
DO - 10.1109/WSC.2007.4419635
M3 - Conference contribution
AN - SCOPUS:49749144115
SN - 1424413060
SN - 9781424413065
T3 - Proceedings - Winter Simulation Conference
SP - 455
EP - 462
BT - Proceedings of the 2007 Winter Simulation Conference, WSC
T2 - 2007 Winter Simulation Conference, WSC
Y2 - 9 December 2007 through 12 December 2007
ER -