Low bias integrated path estimators

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

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 describe versions of the method that have low bias for moderate simulation run lengths. The method constructs an estimator based on applying a quadratic function to the simulation output. The particular quadratic form is chosen to minimize variance subject to constraints on the order of the bias. Estimators that are first-order and second-order unbiased are described.

Original languageEnglish (US)
Title of host publicationProceedings of the 2007 Winter Simulation Conference, WSC
Pages303-307
Number of pages5
DOIs
StatePublished - Dec 1 2007
Event2007 Winter Simulation Conference, WSC - Washington, DC, United States
Duration: Dec 9 2007Dec 12 2007

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Other

Other2007 Winter Simulation Conference, WSC
CountryUnited States
CityWashington, DC
Period12/9/0712/12/07

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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