Exact expected values of variance estimators for simulation

Naval Research Logistics

Volumn 54, Issue 4, 2007, Pages 397-410

  Aktaran Kalayci, Tûba ^a   Alexopoulos, Christos ^b   Argon, Nilay Tanik ^c   Goldsman, David ^b   Wilson, James R ^d  

^a the State University of New York   (United States)

^b Georgia Institute of Technology   (United States)

^c University of North Carolina at Chapel Hill   (United States)

^d North Carolina State University   (United States)

Author keywords

Nonoverlapping batch means; Overlapping batch means; Simulation; Standardized time series; Stationary process; Variance estimation

Indexed keywords

AUTOREGRESSIVE PROCESS; NONOVERLAPPING BATCH MEANS; OVERLAPPING BATCH MEANS; STANDARDIZED TIME SERIES; STATIONARY PROCESS; VARIANCE ESTIMATION;

COMPUTER SIMULATION; FUNCTIONS; LOGISTICS; TIME SERIES ANALYSIS;

PARAMETER ESTIMATION;

EID: 34247540529     PISSN: 0894069X     EISSN: 15206750     Source Type: Journal    
DOI: 10.1002/nav.20215     Document Type: Article

References (19)

1. C. Alexopoulos, N.T. Argon, D. Goldsman, G. Tokol, and J.R. Wilson, Overlapping variance estimators for simulation, Oper Res, forthcoming, ftp://ftp.eos.ncsu.edu/pub/eos/pub/jwilson/ovestv67t.pdf. Accessed September 16, 2006.
2. D. Batur, D. Goldsman, and S.-H. Kim, An improved standardized time series Durbin-Watson variance estimator for steady-state simulation, Technical Report, School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA, 2006.
3. G.E.P. Box, G.M. Jenkins, and G.C. Reinsel, Time series analysis: Forecasting and control, 3rd ed., Prentice Hall, Englewood Cliffs, NJ, 1994.
4. D. J. Daley, The serial correlation coefficients of waiting times in a stationary single server queue, J Austral Math Soc 8 (1968), 683-699.
5. R.D. Foley and D. Goldsman, Confidence intervals using orthonormally weighted standardized time series, ACM Trans Model Comp Simul 9 (1999), 297-325.
6. D. Goldsman, K. Kang, S.-H. Kim, A.F. Seila, and G. Tokol, Combining standardized time series area and Cramér-von Mises variance estimators, Nav Res Logist, forthcoming.
7. D. Goldsman, K. Kang, and A.F. Seila, Cramér-von Mises variance estimators for simulations, Oper Res 47 (1999), 299-309.
8. D. Goldsman and M. Meketon, A comparison of several variance estimators, Technical Report J-85-12, School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA, 1986.
9. D. Goldsman, M. Meketon, and L. Schruben, Properties of standardized time series weighted area variance estimators, Manage Sci 36 (1990), 602-612.
10. G.B. Hazen and A.A.B. Pritsker, Formulas for the variance of the sample mean in finite state Markov processes, J Statist Comput Simul 12 (1980), 25-40.
11. L.B.W. Jolley, Summation of series, 2nd ed., Dover Publications, New York, 1961.
12. J.G. Kemeny and J.L. Snell, Finite Markov chains, Van Nostrand, New York, 1960.
13. A.M. Law, Simulation modeling and analysis, 4th ed., McGraw-Hill, New York, 2006.
14. M.S. Meketon and B. Schmeiser, Overlapping batch means: Something for nothing?, Proceedings of the 1984 Winter Simulation Conference, S. Sheppard, U. Pooch, and D. Pegden, editors, Institute of Electrical and Electronics Engineers, Piscataway, NJ, 1984, pp. 227-230.
15. R.G. Sargent, K. Kang, and D. Goldsman, An investigation of finite-sample behavior of confidence interval estimators, Oper Res 40 (1992), 898-913.
16. B. Schmeiser, Batch size effects in the analysis of simulation output, Oper Res 30 (1982), 556-568.
17. L.W. Schruben, Confidence interval estimation using standardized time series, Oper Res 31 (1983), 1090-1108.
18. W.T. Song and B.W. Schmeiser, Variance of the sample mean: Properties and graphs of quadratic-form estimators, Oper Res 41(1993), 501-517.
19. W.T. Song and B.W. Schmeiser, Optimal mean-squared-error batch sizes, Manage Sci 41 (1995), 110-123.