IDEAS home Printed from https://ideas.repec.org/a/taf/uiiexx/v41y2009i2p134-144.html
   My bibliography  Save this article

Area variance estimators for simulation using folded standardized time series

Author

Listed:
  • Claudia Antonini
  • Christos Alexopoulos
  • David Goldsman
  • James Wilson

Abstract

We estimate the variance parameter of a stationary simulation-generated process using “folded” versions of standardized time series area estimators. Asymptotically as the sample size increases, different folding levels yield unbiased estimators that are independent scaled chi-squared variates, each with one degree of freedom. This result is exploited to formulate improved variance estimators based on the combination of multiple levels as well as the use of batching. The improved estimators preserve the asymptotic bias properties of their predecessors, but have substantially lower asymptotic variances. The performance of the new variance estimators is demonstrated in a first-order autoregressive process with autoregressive parameter 0.9 and in the queue-waiting-time process for an M/M/1 queue with server utilization 0.8.[Supplementary materials are available for this article. Go to the publisher's online edition of IIE Transactions for the following free supplemental resource: Appendix]

Suggested Citation

  • Claudia Antonini & Christos Alexopoulos & David Goldsman & James Wilson, 2009. "Area variance estimators for simulation using folded standardized time series," IISE Transactions, Taylor & Francis Journals, vol. 41(2), pages 134-144.
    • Handle: RePEc:taf:uiiexx:v:41:y:2009:i:2:p:134-144
    DOI: 10.1080/07408170802331268
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/07408170802331268
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/07408170802331268?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Meterelliyoz, Melike & Alexopoulos, Christos & Goldsman, David, 2012. "Folded overlapping variance estimators for simulation," European Journal of Operational Research, Elsevier, vol. 220(1), pages 135-146.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:uiiexx:v:41:y:2009:i:2:p:134-144. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/uiie .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.