Article ID: | iaor20022048 |
Country: | United States |
Volume: | 13 |
Issue: | 2 |
Start Page Number: | 149 |
End Page Number: | 156 |
Publication Date: | Mar 2001 |
Journal: | INFORMS Journal On Computing |
Authors: | Goldsman David, Alexopoulos Christos, Tokol Gamze |
Keywords: | statistics: sampling |
We examine the practice of batching of certain quadratic-form estimators for the variance parameter of a stochastic process. The class of batched quadratic-form estimators includes, among others, the standardized time series (STS) weighted area and weighted Cramer von Mises estimators. We give results on the expected value and variance of such estimators as the batch size and/or the number of batches increase. In particular, we show that the above STS estimators are consistent for the variance parameter in terms of mean squared error. An analytical example involving a first-order autoregressive process illustrates our findings.