New confidence interval estimators using standardized time series

The authors develop new asymptotically valid confidence interval estimators (CIE’s) for the underlying mean of a stationary simulation process. The new estimators are weighted generalizations of Schruben’s standardized time series area CIE. The authors show that the weighted CIE’s have the same asymptotic expected length and variance of the length as the area CIE; but in the small sample environment, the new CIE’s exhibit performance characteristics which are different from those of the area CIE.