Large and small sample comparisons of various variance estimators

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Large and small sample comparisons of various variance estimators

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Winter Simulation Conference archive
Proceedings of the 18th conference on Winter simulation table of contents

Washington, D.C., United States

Pages: 278 - 284

Year of Publication: 1986

ISBN:0-911801-11-1

Authors

David Goldsman	School of ISyE, Georgia Institute of Technology, Atlanta, GA
Keebom Kang	Department of I.E., University of Miami, Coral Gables, FL
Robert G. Sargent	Department of IE & OR, Syracuse University, Syracuse, NY

Sponsor

SIGSIM: ACM Special Interest Group on Simulation and Modeling

Publisher

ACM New York, NY, USA

Bibliometrics

Downloads (6 Weeks): 5, Downloads (12 Months): 16, Citation Count: 4

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ABSTRACT

The objective of this report is to investigate the behavior of various variance estimators arising in computer simulation experiments. We give large and small sample results pertaining to the bias, variance, and confidence interval performance of nonoverlapping batched means, overlapping batched means, and standardized time series estimators.

REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

	1	Paul Bratley , Bennett L Fox , Linus E Schrage, A guide to simulation (2nd ed.), Springer-Verlag New York, Inc., New York, NY, 1986
	2	George S. Fishman, Principles of Discrete Event Simulation, John Wiley & Sons, Inc., New York, NY, 1978
	3	Goldsman, D. (1984). On Using Standardized Time Series to Analyze Stochastic Processes. Ph.D. Dissertation, School of O.R. & I.E., Cornell Univ., Ithaca, NY.
	4	Goldsman, D. and M.S. ~eketon (1986). "A Comparison of Several Variance Esimator~." School of ISyg Tech. Report J-85-12, Georgia Institute of Technology, At lanta.
	5	Goldsman, D. and L. Schruben (1984). "Asymptotic Properties of Some Confidence Interval Estimators for Simulation Output." Management Science, 30, 1217-1225.
	6	Meketon, M.S. (1980). The Variance Time Curve: Theory, gstimatioa and Applieat ion. Ph. D.
	7	Dissertation, School of O.R. & I.E~, CornelI Univ., Ithaca, RY.
	8	Marc S. Meketon , Bruce Schmeiser, Overlapping batch means: something for nothing?, Proceedings of the 16th conference on Winter simulation, p.226-230, December 28-30, 1984, Dallas, TX
	9	Schmeiser, B.~. (1982). "Batch Size Effects in the Analysis of Simulation Output." Operations Research, 30, 556--568.
	10	Scluneiser, B.~. (1986). Personal Communication. Schruben, L. (1980). "A Coverage Function for Interval Estimators of Simulation Response." Management Science, ~6, 18-27.
	11	Schruben, L. (1983). "Confidence Interval Estimation Using Standardized Time Series." Operat ions Research, 31, 1090-1108.

CITED BY 4

	Donald C. McNickle , Krzysztof Pawlikowski , Gregory Ewing, Experimental evaluation of confidence interval procedures in sequential steady-state simulation, Proceedings of the 28th conference on Winter simulation, p.382-389, December 08-11, 1996, Coronado, California, United States
	Bruce Schmeiser , Wheyming Tina Song, Correlation among estimators of the variance of the sample mean, Proceedings of the 19th conference on Winter simulation, p.309-317, December 14-16, 1987, Atlanta, Georgia, United States
	Robert Berry , Joseph Hellerstein, An approach to detecting changes in the factors affecting the performance of computer systems, ACM SIGMETRICS Performance Evaluation Review, v.19 n.1, p.39-49, May 1991
	Krzysztof Pawlikowski, Steady-state simulation of queueing processes: survey of problems and solutions, ACM Computing Surveys (CSUR), v.22 n.2, p.123-170, June 1990