Properties of batched quadratic-form variance parameter estimators for simulations

Properties of batched quadratic-form variance parameter estimators for simulations

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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: , ,
Keywords: statistics: sampling
Abstract:

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.

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