| 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: | Wilson James R., Goldsman David, Aktaran-Kalayc Tba |
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.