Exact expected values of variance estimators for simulation

Exact expected values of variance estimators for simulation

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Article ID: iaor20082043
Country: United States
Volume: 54
Issue: 4
Start Page Number: 397
End Page Number: 410
Publication Date: Jun 2007
Journal: Naval Research Logistics
Authors: , , , ,
Keywords: queues: theory
Abstract:

We formulate exact expressions for the expected values of selected estimators of the variance parameter (that is, the sum of covariances at all lags) of a steady-state simulation output process. Given in terms of the autocovariance function of the process, these expressions are derived for variance estimators based on the simulation analysis methods of nonoverlapping batch means, overlapping batch means, and standardized time series. Comparing estimator performance in a first-order autoregressive process and the M/M/1 queue-waiting-time process, we find that certain standardized time series estimators outperform their competitors as the sample size becomes large.

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