Linear combinations of overlapping variance estimators for simulation

Linear combinations of overlapping variance estimators for simulation

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Article ID: iaor20083463
Country: Netherlands
Volume: 35
Issue: 4
Start Page Number: 439
End Page Number: 447
Publication Date: Jul 2007
Journal: Operations Research Letters
Authors: , ,
Abstract:

We estimate the variance parameter of a stationary simulation-generated process using a linear combination of overlapping standardized time series (STS) area variance estimators based on different batch sizes. We establish the linear-combination estimator's asymptotic distribution, presenting analytical and simulation-based results exemplifying its potential for improvements in accuracy and computational efficiency.

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