Exact expected values of variance estimators for simulation |
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| Authors: | Tûba Aktaran‐Kalayc? Christos Alexopoulos Nilay Tan?k Argon David Goldsman James R Wilson |
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| Institution: | 1. Department of Industrial and Systems Engineering, University at Buffalo, Buffalo, New York;2. H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia;3. Department of Statistics and Operations Research, University of North Carolina at Chapel Hill, Chapel Hill, North CarolinaDepartment of Statistics and Operations Research, University of North Carolina at Chapel Hill, Chapel Hill, North Carolina;4. Edward P. Fitts Department of Industrial and Systems Engineering, North Carolina State University, Raleigh, North Carolina |
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| 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 |
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| Keywords: | simulation stationary process variance estimation nonoverlapping batch means overlapping batch means standardized time series |
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