Low bias integrated path estimators

@article{Calvin2007LowBI,
  title={Low bias integrated path estimators},
  author={James M. Calvin},
  journal={2007 Winter Simulation Conference},
  year={2007},
  pages={303-307}
}
We consider the problem of estimating the time-average variance constant for a stationary process. A previous paper described an approach based on multiple integrations of the simulation output path, and described the efficiency improvement that can result compared with the method of batch means (which is a special case of the method). In this paper we… CONTINUE READING