Overlapping batch means: something for nothing?

@inproceedings{Meketon1984OverlappingBM,
  title={Overlapping batch means: something for nothing?},
  author={Marc S. Meketon and Bruce W. Schmeiser},
  booktitle={Winter Simulation Conference},
  year={1984}
}
Nonoverlapping batch means (NOLBM) is a we11-known approach For estimating the variance of the sample mean. In this paper we consider an overlapping batch means (OLBM) estimator that, based on the same assumptions and batch size as NOLBM, has essentially the same mean and only 2/3 the asymptotic variance of NOLBM. Confidence interval procedures for the mean based on NOLBM and OLBM are discussed. Both estimators are compared to the classical estimator of the variance of the mean based on sums of… CONTINUE READING
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