TY - JOUR
T1 - Area variance estimators for simulation using folded standardized time series
AU - Antonini, Claudia
AU - Alexopoulos, Christos
AU - Goldsman, David
AU - Wilson, James
PY - 2009
Y1 - 2009
N2 - We estimate the variance parameter of a stationary simulation-generated process using "folded" versions of standardized time series area estimators. Asymptotically as the sample size increases, different folding levels yield unbiased estimators that are independent scaled chi-squared variates, each with one degree of freedom. This result is exploited to formulate improved variance estimators based on the combination of multiple levels as well as the use of batching. The improved estimators preserve the asymptotic bias properties of their predecessors, but have substantially lower asymptotic variances. The performance of the new variance estimators is demonstrated in a first-order autoregressive process with autoregressive parameter 0.9 and in the queue-waiting-time process for an M/M/1 queue with server utilization 0.8.
AB - We estimate the variance parameter of a stationary simulation-generated process using "folded" versions of standardized time series area estimators. Asymptotically as the sample size increases, different folding levels yield unbiased estimators that are independent scaled chi-squared variates, each with one degree of freedom. This result is exploited to formulate improved variance estimators based on the combination of multiple levels as well as the use of batching. The improved estimators preserve the asymptotic bias properties of their predecessors, but have substantially lower asymptotic variances. The performance of the new variance estimators is demonstrated in a first-order autoregressive process with autoregressive parameter 0.9 and in the queue-waiting-time process for an M/M/1 queue with server utilization 0.8.
KW - Batching
KW - Method of standardized time series
KW - Simulation output analysis methods
KW - Steady-state simulation
KW - Variance estimation
UR - http://www.scopus.com/inward/record.url?scp=56749169589&partnerID=8YFLogxK
U2 - 10.1080/07408170802331268
DO - 10.1080/07408170802331268
M3 - Article
AN - SCOPUS:56749169589
SN - 0740-817X
VL - 41
SP - 134
EP - 144
JO - IIE Transactions (Institute of Industrial Engineers)
JF - IIE Transactions (Institute of Industrial Engineers)
IS - 2
ER -