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Confidence Interval Estimation Using Standardized Time Series

Citations

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Cited by:

  1. David Goldsman & Seong-Hee Kim & William S. Marshall & Barry L. Nelson, 2002. "Ranking and Selection for Steady-State Simulation: Procedures and Perspectives," INFORMS Journal on Computing, INFORMS, vol. 14(1), pages 2-19, February.
  2. Guangwu Liu & Liu Jeff Hong, 2009. "Kernel estimation of quantile sensitivities," Naval Research Logistics (NRL), John Wiley & Sons, vol. 56(6), pages 511-525, September.
  3. Song, Wheyming Tina & Chih, Mingchang, 2013. "Run length not required: Optimal-mse dynamic batch means estimators for steady-state simulations," European Journal of Operational Research, Elsevier, vol. 229(1), pages 114-123.
  4. 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.
  5. Song, Wheyming Tina, 1996. "On the estimation of optimal batch sizes in the analysis of simulation output," European Journal of Operational Research, Elsevier, vol. 88(2), pages 304-319, January.
  6. Sheth-Voss, Pieter A. & Willemain, Thomas R. & Haddock, Jorge, 2005. "Estimating the steady-state mean from short transient simulations," European Journal of Operational Research, Elsevier, vol. 162(2), pages 403-417, April.
  7. Seong-Hee Kim & Barry L. Nelson, 2006. "On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation," Operations Research, INFORMS, vol. 54(3), pages 475-488, June.
  8. David Goldsman & Keebom Kang & Andrew F. Seila, 1999. "Cramér-von Mises Variance Estimators for Simulations," Operations Research, INFORMS, vol. 47(2), pages 299-309, April.
  9. 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.
  10. David Goldsman & Lee W. Schruben & James J. Swain, 1994. "Tests for transient means in simulated time series," Naval Research Logistics (NRL), John Wiley & Sons, vol. 41(2), pages 171-187, March.
  11. 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.
  12. Gamze Tokol & David Goldsman & Daniel H. Ockerman & James J. Swain, 1998. "Standardized Time Series Lp-Norm Variance Estimators for Simulations," Management Science, INFORMS, vol. 44(2), pages 234-245, February.
  13. Park, Dae S. & Kim, Yun B. & Shin, Key I. & Willemain, Thomas R., 2001. "Simulation output analysis using the threshold bootstrap," European Journal of Operational Research, Elsevier, vol. 134(1), pages 17-28, October.
  14. Song, Wheyming Tina, 2019. "The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1072-1082.
  15. Koning, A.J., 1999. "Goodness of fit for the constancy of a classical statistical model over time," Econometric Institute Research Papers EI 9959-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  16. Tûba Aktaran‐Kalaycı & Christos Alexopoulos & Nilay Tanık Argon & David Goldsman & James R. Wilson, 2007. "Exact expected values of variance estimators for simulation," Naval Research Logistics (NRL), John Wiley & Sons, vol. 54(4), pages 397-410, June.
  17. George, Halkos & Ilias, Kevork, 2004. "H Ασυμπτωτική Διακύμανση Στην Εκτίμηση Του Στάσιμου Μέσου Υπό Συνθήκες Αυτοσυσχέτισης [Using the asymptotic variance to estimate the stationary mean under autocorrelation]," MPRA Paper 33324, University Library of Munich, Germany.
  18. Lin Fan & Peter W. Glynn & Markus Pelger, 2018. "Change-Point Testing for Risk Measures in Time Series," Papers 1809.02303, arXiv.org, revised Jul 2023.
  19. Ockerman, Daniel H. & Goldsman, David, 1999. "Student t-tests and compound tests to detect transients in simulated time series," European Journal of Operational Research, Elsevier, vol. 116(3), pages 681-691, August.
  20. Lorenzo Lucchini & Laura Alessandretti & Bruno Lepri & Angela Gallo & Andrea Baronchelli, 2020. "From code to market: Network of developers and correlated returns of cryptocurrencies," Papers 2004.07290, arXiv.org, revised Dec 2020.
  21. Halkos, George & Kevork, Ilias, 2002. "Confidence intervals in stationary autocorrelated time series," MPRA Paper 31840, University Library of Munich, Germany.
  22. James M. Calvin & Marvin K. Nakayama, 2006. "Permuted Standardized Time Series for Steady-State Simulations," Mathematics of Operations Research, INFORMS, vol. 31(2), pages 351-368, May.
  23. Christos Alexopoulos & Nilay Tanık Argon & David Goldsman & Natalie M. Steiger & Gamze Tokol & James R. Wilson, 2007. "Efficient Computation of Overlapping Variance Estimators for Simulation," INFORMS Journal on Computing, INFORMS, vol. 19(3), pages 314-327, August.
  24. Song, Wheyming T. & Chih, Mingchang, 2010. "Extended dynamic partial-overlapping batch means estimators for steady-state simulations," European Journal of Operational Research, Elsevier, vol. 203(3), pages 640-651, June.
  25. L. Jeff Hong & Guangwu Liu, 2010. "Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations," Operations Research, INFORMS, vol. 58(2), pages 357-370, April.
  26. 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.
  27. David F. Muñoz & Peter W. Glynn, 2001. "Multivariate Standardized Time Series for Steady-State Simulation Output Analysis," Operations Research, INFORMS, vol. 49(3), pages 413-422, June.
  28. Halkos, George & Kevork, Ilias, 2006. "Estimating population means in covariance stationary process," MPRA Paper 31843, University Library of Munich, Germany.
  29. David Goldsman & Keebom Kang & Seong‐Hee Kim & Andrew F. Seila & Gamze Tokol, 2007. "Combining standardized time series area and Cramér–von Mises variance estimators," Naval Research Logistics (NRL), John Wiley & Sons, vol. 54(4), pages 384-396, June.
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