Folded standardized time series area variance estimators for simulation

ABSTRACT

We estimate the variance parameter of a stationary simulation-generated process using "folded" versions of standardized time series area estimators. We formulate improved variance estimators based on the combination of multiple folding levels as well as the use of batching. The improved estimators preserve the asymptotic bias properties of their predecessors but have substantially lower variance. A Monte Carlo example demonstrates the efficacy of the new methodology.

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