Name
Abstract | ||
|---|---|---|
We provide asymptotic expressions for the expected value and variance of the replicated batch means variance estimator when the stochastic process being simulated has an additive initial transient. These expressions explicitly show how the initial transient and the autocorrelation in the data affect the performance of the estimator. We apply our results to study how many replications will minimize the asymptotic bias of the variance estimator for a simple example. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1109/WSC.2007.4419617 | Winter Simulation Conference |
Keywords | Field | DocType |
steady-state simulation,initial transient,stochastic process,expected value,replicated batch,asymptotic bias,simple example,asymptotic expression,variance estimator,autocorrelation,stochastic processes,estimation theory,steady state | Applied mathematics,Mathematical optimization,Expression (mathematics),Simulation,Computer science,Stochastic process,Expected value,Estimation theory,Steady state,Estimator,Autocorrelation,Consistent estimator | Conference |
ISBN | Citations | PageRank |
1-4244-1306-0 | 1 | 0.40 |
References | Authors | |
5 | 4 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Christos Alexopoulos | 1 | 426 | 77.68 |
| Sigrún Andradóttir | 2 | 548 | 55.09 |
| Nilay Tanik Argon | 3 | 40 | 4.22 |
| David Goldsman | 4 | 904 | 159.71 |