Two-stage stopping procedures based on standardized time series

Two-stage stopping procedures based on standardized time series

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Article ID: iaor19951138
Country: United States
Volume: 40
Issue: 9
Start Page Number: 1189
End Page Number: 1206
Publication Date: Sep 1994
Journal: Management Science
Authors:
Keywords: statistics: inference, time series & forecasting methods
Abstract:

The paper proposes some new two-stage stopping procedures to construct absolute-width and relative-width confidence intervals for a simulation estimator of the steady-state mean of a stochastic process. The procedures are based on the method of standardized time series proposed by Schruben and on Stein’s two-stage sampling scheme. The paper proves that the present two-stage procedures give rise to asymptotically valid confidence intervals (as the prescribed length of the confidence interval approaches zero and the size of the first stage grows to infinity). The sole assumption required is that the stochastic process satisfy a functional central limit theorem.

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