Note---New Confidence Interval Estimators Using Standardized Time Series

David Goldsman and Lee Schruben
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David Goldsman: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332
Lee Schruben: School of Operations Research and Industrial Engineering, Cornell University, Ithaca, New York 14853

Management Science, 1990, vol. 36, issue 3, 393-397

Abstract: We develop new asymptotically valid confidence interval estimators (CIE's) for the underlying mean of a stationary simulation process. The new estimators are weighted generalizations of Schruben's standardized time series area CIE. We show that the weighted CIE's have the same asymptotic expected length and variance of the length as the area CIE; but in the small sample environment, the new CIE's exhibit performance characteristics which are different from those of the area CIE.

Keywords: simulation output analysis; confidence intervals; standardized time series (search for similar items in EconPapers)
Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:36:y:1990:i:3:p:393-397

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