Properties of standardized time series weighted area variance estimators
Article Abstract:
A process is described to estimate the variance of the sample means from an on-going-time stationary stochastic procedure. The process extends results achieved in previous research by utilizing the theory of standardized time series to analyze weighted generalizations of an area variance estimator suggested by past research. Research results reveal that a simple expression is developed for the bias of the weighted area variance estimator, and weights are given which generate variance estimators with an asymptotic bias that is lower than other estimators. The estimators are then used to develop asymptotically valid confidence interval estimators for the mean of a stationary stochastic procedure. Research results indicate that the new confidence interval estimators generate coverages which closely parallel the nominal value.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1990
User Contributions:
Comment about this article or add new information about this topic:
Asymptotic properties of some confidence interval estimators for simulation output
Article Abstract:
Recent papers have suggested simulating output analysis by standardizing the output time series. Four interval estimators based upon this new approach are tested against the classic confidence estimator. The new estimators are shown to have asymptotic properties that dominate the classic estimator when information derives from either independent simulation replications or batched observations of a single simulation run.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1984
User Contributions:
Comment about this article or add new information about this topic:
New confidence interval estimators using standardized time series
Article Abstract:
Novel asymptotically valid confidence interval estimators (CIE's) are presented for the underlying mean of a stationary simulation procedure. It is demonstrated that weighted CIE's have asymptotic expected lengths and variances which parallel the length as the area CIE. However, in a limited sample environment, the new CIE's demonstrate performance attributes which do not parallel those of the area CIE.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1990
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Top prices for top houses. Prices level off in the prestige housing market. Top-end buyers stay put
- Abstracts: Pharmacy services industry. Medical services industry
- Abstracts: Daring to be different pays off. Consolidation lite seems to work. The company doctor
- Abstracts: The Role of Linear Recursive Estimators in Time Series Forecasting. A Diverting Structures Effects on a River Flow Time Series
- Abstracts: Change Can Work for You. Great Business Ideas That Work. Find a Need and Fill It