Optimal Linear Combinations of Overlapping Variance Estimators for Steady-State Simulation

Tûba Aktaran-Kalaycı (), Christos Alexopoulos (), David Goldsman () and James R. Wilson ()
Additional contact information
Tûba Aktaran-Kalaycı: H. Milton Stewart School of Industrial and Systems Engineering
Christos Alexopoulos: H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology
David Goldsman: H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology
James R. Wilson: North Carolina State University

A chapter in Advancing the Frontiers of Simulation, 2009, pp 291-328 from Springer

Abstract: Abstract To estimate the variance parameter (i.e., the sum of covariances at all lags) of a steady-state simulation output process, we formulate an optimal linear combination of overlapping variance estimators (OLCOVE). Each variance estimator is computed from the same data set using one of the following methods: (i) overlapping batch means (OBM); or (ii) standardized time series (STS) applied to overlapping batches separately and then averaged over all such batches. Each estimator’s batch size is a fixed real multiple (at least unity) of a base batch size, appropriately rounded. The overall sample size is a fixed integral multiple of the base batch size. Exploiting the control-variates method, we assign OLCOVE coefficients so as to yield a minimum-variance estimator. We establish asymptotic properties of the bias and variance of OLCOVEs computed from OBM or STS variance estimators as the base batch size increases. Finally, we use OLCOVEs to construct confidence intervals for both the mean and the variance parameter of the target process. An experimental performance evaluation revealed the potential benefits of using OLCOVEs for steady-state simulation analysis.

Keywords: Weight Function; Mean Square Error; Variance Estimator; Coverage Probability; Batch Size (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-1-4419-0817-9_13

Ordering information: This item can be ordered from
http://www.springer.com/9781441908179

DOI: 10.1007/b110059_13

Access Statistics for this chapter

More chapters in International Series in Operations Research & Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().