We describe an extension procedure for constructing new standardized time series procedures from existing ones. The approach is based on averaging over sample paths obtained by permuting path segments. Analytical and empirical results indicate that permuting improves standardized time series methods. We compare permuting to an alternative extension procedure known as batching. We demonstrate the permuting method by applying it to estimators based on the maximum and the area of a normalized path.
All Science Journal Classification (ASJC) codes
- Computer Science Applications
- Management Science and Operations Research
- Confidence intervals
- Functional central limit theorem
- Steady-state simulation