Linear combinations of overlapping variance estimators for simulation
نویسندگان
چکیده
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. © 2006 Published by Elsevier B.V.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 35 شماره
صفحات -
تاریخ انتشار 2007