| Article ID: | iaor20043385 |
| Country: | Netherlands |
| Volume: | 32 |
| Issue: | 3 |
| Start Page Number: | 293 |
| End Page Number: | 298 |
| Publication Date: | May 2004 |
| Journal: | Operations Research Letters |
| Authors: | Schmeiser Bruce, Yeh Yingchieh |
We propose and investigate an alternative definition of robustness for estimators of the variance of the sample mean arising in steady-state simulation experiments. The alternative definition implies that – of all known batching estimators – overlapping-batch-means estimators have both optimal mean squared error and optimal robustness.