Strong Consistency and Other Properties of the Spectral Variance Estimator
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Abstract
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DOI: 10.1287/mnsc.37.11.1424
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Cited by:
- Christos Alexopoulos & David Goldsman & Gamze Tokol, 2001. "Properties of Batched Quadratic-Form Variance Parameter Estimators for Simulations," INFORMS Journal on Computing, INFORMS, vol. 13(2), pages 149-156, May.
- Halim Damerdji & David Goldsman, 1995. "Consistency of several variants of the standardized time series area variance estimator," Naval Research Logistics (NRL), John Wiley & Sons, vol. 42(8), pages 1161-1176, December.
- Chakraborty, Saptarshi & Bhattacharya, Suman K. & Khare, Kshitij, 2022. "Estimating accuracy of the MCMC variance estimator: Asymptotic normality for batch means estimators," Statistics & Probability Letters, Elsevier, vol. 183(C).
- Christos Alexopoulos & Nilay Tanık Argon & David Goldsman & Gamze Tokol & James R. Wilson, 2007. "Overlapping Variance Estimators for Simulation," Operations Research, INFORMS, vol. 55(6), pages 1090-1103, December.
- Ying Liu & Dootika Vats & James M. Flegal, 2022. "Batch Size Selection for Variance Estimators in MCMC," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 65-93, March.
- Kin Wai Chan & Chun Yip Yau, 2017. "High-order Corrected Estimator of Asymptotic Variance with Optimal Bandwidth," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 866-898, December.
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Keywords
simulation; steady-state output analysis; spectral variance estimation; strong consistency;All these keywords.
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