Exact expected values of variance estimators for simulation

Tûba Aktaran‐Kalaycı, Christos Alexopoulos, Nilay Tanık Argon, David Goldsman and James R. Wilson

Naval Research Logistics (NRL), 2007, vol. 54, issue 4, 397-410

Abstract: We formulate exact expressions for the expected values of selected estimators of the variance parameter (that is, the sum of covariances at all lags) of a steady‐state simulation output process. Given in terms of the autocovariance function of the process, these expressions are derived for variance estimators based on the simulation analysis methods of nonoverlapping batch means, overlapping batch means, and standardized time series. Comparing estimator performance in a first‐order autoregressive process and the M/M/1 queue‐waiting‐time process, we find that certain standardized time series estimators outperform their competitors as the sample size becomes large. © 2007 Wiley Periodicals, Inc. Naval Research Logistics, 2007

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navres:v:54:y:2007:i:4:p:397-410

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