Optimal Linear Combinations of Overlapping Variance Estimators for Steady-State Simulation

@inproceedings{AktaranKalayc2009OptimalLC,
  title={Optimal Linear Combinations of Overlapping Variance Estimators for Steady-State Simulation},
  author={T{\^u}ba Aktaran-Kalaycı and Christos Alexopoulos and David Goldsman and James R. Wilson},
  year={2009}
}
To estimate the variance parameter (i.e., the sum of covariances at all lags) of a steady-state simulation output process, we formulate an optimal linear combination of overlapping variance estimators (OLCOVE). Each variance estimator is computed from the same data set using one of the following methods: (i) overlapping batch means (OBM); or (ii) standardized time series (STS) applied to overlapping batches separately and then averaged over all such batches. Each estimator’s batch size is a… CONTINUE READING