Linear combinations of overlapping variance estimators for simulations

被引：3

作者：

Aktaran-Kalayci, T ^{[1
]}

Goldsman, D ^{[1
]}

机构：

[1] Georgia Inst Technol, Sch Ind & Syst Engn, Atlanta, GA 30332 USA

来源：

Proceedings of the 2005 Winter Simulation Conference, Vols 1-4 | 2005年

关键词：

D O I：

10.1109/WSC.2005.1574319

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

We examine properties of linear combinations of overlapping standardized time series area estimators for the variance parameter of a stationary stochastic process. We find that the linear combination estimators have lower bias and variance than their overlapping constituents and nonoverlapping counterparts; in fact, the new estimators also perform particularly well against the benchmark batch means estimator. We illustrate our findings with analytical and Monte Carlo examples.

引用

页码：756 / 762

页数：7

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