Strong consistency of the variance estimator in steady-state simulation output analysis

Strong consistency of the variance estimator in steady-state simulation output analysis

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Article ID: iaor1995782
Country: United States
Volume: 19
Issue: 2
Start Page Number: 494
End Page Number: 512
Publication Date: May 1994
Journal: Mathematics of Operations Research
Authors:
Abstract:

In this paper the problme of variance estimation in steady-state simulation output analysis is studied. A confidence interval for the mean of an output sequence may be constructed using a (weakly) consistent estimator of the time-average variance constant of the process. Moreover, a strongly consistent estimator of the variance constant is required for fixed-width confidence-interval estimation procedures to be asymptotically valid. Here, sufficient conditions are established to ensure strong consistency of the estimator of the variance constant obtained by several widely used methods of steady-state simulation output analysis, namely, batch means, overlapping batch means, spaced batch means, and standardized time series (area estimator). The overlapping area estimator of the variance constant is also introduced. The established sufficient conditions provide qualitative insight into the relation between the correlation of the process and certain parameters (e.g., batch size) of the output method used.

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