| Article ID: | iaor19921564 |
| Country: | Netherlands |
| Volume: | 10 |
| Issue: | 8 |
| Start Page Number: | 431 |
| End Page Number: | 435 |
| Publication Date: | Nov 1991 |
| Journal: | Operations Research Letters |
| Authors: | Glynn Peter W., Whitt Ward |
The authors show that there is no batch-means estimation procedure for consistently estimating the asymptotic variance when the number of batches is held fixed as the run length increases. This result suggests that the number of batches should increase as the run length increases for sequential stopping rules based on batch means.