Linear combinations of overlapping variance estimators for simulation

被引：8

作者：

Aktaran-Kalayci, Tuba

Goldsman, David ^{[1
]}

Wilson, James R.

机构：

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

[2] SUNY Buffalo, Dept Ind & Syst Engn, Buffalo, NY 14260 USA

[3] N Carolina State Univ, Edward P Fitts Dept Ind & Syst Engn, Raleigh, NC 27695 USA

来源：

OPERATIONS RESEARCH LETTERS | 2007年 / 35卷 / 04期

基金：

美国国家科学基金会;

关键词：

simulation; stationary process; variance estimation; standardized time series; area estimator; overlapping area estimator;

D O I：

10.1016/j.orl.2006.08.007

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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. (c) 2006 Published by Elsevier B.V.

引用

页码：439 / 447

页数：9

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