Folded standardized time series area variance estimators for simulation

Claudia Antonini; Christos Alexopoulos; David Goldsman; James R. Wilson

doi:10.1109/WSC.2007.4419635

Folded standardized time series area variance estimators for simulation

Claudia Antonini
, Christos Alexopoulos
, David Goldsman
, James R. Wilson

Producción científica: Capítulo del libro/informe/acta de congreso › Contribución a la conferencia › revisión exhaustiva

2 Citas (Scopus)

Resumen

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.

Idioma original	Inglés
Título de la publicación alojada	Proceedings of the 2007 Winter Simulation Conference, WSC
Editorial	Institute of Electrical and Electronics Engineers Inc.
Páginas	455-462
Número de páginas	8
ISBN (versión impresa)	1424413060, 9781424413065
DOI	https://doi.org/10.1109/WSC.2007.4419635
Estado	Publicada - 2007
Publicado de forma externa	Sí
Evento	2007 Winter Simulation Conference, WSC 2007 - Washington, DC, Estados Unidos Duración: 9 dic. 2007 → 12 dic. 2007

Serie de la publicación

Nombre	Proceedings - Winter Simulation Conference
ISSN (versión impresa)	0891-7736

Conferencia

Conferencia	2007 Winter Simulation Conference, WSC 2007
País/Territorio	Estados Unidos
Ciudad	Washington, DC
Período	9/12/07 → 12/12/07

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10.1109/WSC.2007.4419635

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Antonini, C., Alexopoulos, C., Goldsman, D., & Wilson, J. R. (2007). Folded standardized time series area variance estimators for simulation. En Proceedings of the 2007 Winter Simulation Conference, WSC (pp. 455-462). Artículo 4419635 (Proceedings - Winter Simulation Conference). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC.2007.4419635

@inproceedings{42e4d5b12711490aacb53412c9c21f07,

title = "Folded standardized time series area variance estimators for simulation",

abstract = "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.",

author = "Claudia Antonini and Christos Alexopoulos and David Goldsman and Wilson, \{James R.\}",

year = "2007",

doi = "10.1109/WSC.2007.4419635",

language = "English",

isbn = "1424413060",

series = "Proceedings - Winter Simulation Conference",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "455--462",

booktitle = "Proceedings of the 2007 Winter Simulation Conference, WSC",

note = "2007 Winter Simulation Conference, WSC 2007 ; Conference date: 09-12-2007 Through 12-12-2007",

}

Antonini, C, Alexopoulos, C, Goldsman, D & Wilson, JR 2007, Folded standardized time series area variance estimators for simulation. En Proceedings of the 2007 Winter Simulation Conference, WSC., 4419635, Proceedings - Winter Simulation Conference, Institute of Electrical and Electronics Engineers Inc., pp. 455-462, 2007 Winter Simulation Conference, WSC 2007, Washington, DC, Estados Unidos, 9/12/07. https://doi.org/10.1109/WSC.2007.4419635

Folded standardized time series area variance estimators for simulation. / Antonini, Claudia; Alexopoulos, Christos; Goldsman, David et al.
Proceedings of the 2007 Winter Simulation Conference, WSC. Institute of Electrical and Electronics Engineers Inc., 2007. p. 455-462 4419635 (Proceedings - Winter Simulation Conference).

Producción científica: Capítulo del libro/informe/acta de congreso › Contribución a la conferencia › revisión exhaustiva

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

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 2007 Winter Simulation Conference, WSC 2007

Y2 - 9 December 2007 through 12 December 2007

ER -

Folded standardized time series area variance estimators for simulation

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