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: | Wilson James R., Goldsman David, Alexopoulos Christos, Argon Nilay Tank, Aktaran-Kalayc Tba |
Keywords: | queues: theory |
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