On the relationship between batch means, overlapping means and spectral estimation

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On the relationship between batch means, overlapping means and spectral estimation

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Winter Simulation Conference archive
Proceedings of the 19th conference on Winter simulation table of contents

Atlanta, Georgia, United States

Pages: 320 - 323

Year of Publication: 1987

ISBN:0-911801-32-4

Author

Peter D. Welch

IBM Thomas J. Watson Research Center, Yorktown Heights, New York

Sponsor

SIGSIM: ACM Special Interest Group on Simulation and Modeling

Publisher

ACM New York, NY, USA

Bibliometrics

Downloads (6 Weeks): 12, Downloads (12 Months): 28, Citation Count: 25

Additional Information:

abstract references cited by index terms collaborative colleagues

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ABSTRACT

The conventional method of batch means and the overlapping batch means approach of Meketon and Schmeiser are related to spectral estimation via the time averaging of subsequence periodograms. It is shown that most of the reduction in the variance of the variance estimate can be achieved with modest amounts of overlapping. This may have practical implications because of the large number of batches required for the statistical test of lack of correlation. and the usual practice of rebatching the data after this test is passed.

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	M. S. Meketon (19~10), The Variance Time Curve" Thepry, Estimation and Application, Ph.D. Dissertation, School of Operations Research and Industrial Engineering, Cornell University.
	2	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
	3	George S. Fishman, Principles of Discrete Event Simulation, John Wiley & Sons, Inc., New York, NY, 1978
	4	M. S. Bartlett (1950), "Periodogram Analysis and Continuous Spectra", Biometrika, 37, 1-16.
	5	P. D. Welch (196i), "A direct Digital Method of Power Spectrum Estimation", IBM J. Res. and Dev., 5, 141-156.
	6	P. D. Welch (1967), "The Use of the Fast Fourier Transform for the Estimation of Spectra" A Method Based on Time Averaging Over Short, Modified Peri~dograms", IEEE Trans. Acoust. El~ctroacoust.~ AU - 15, 2, 70-73.
	7	C. Bingham, M. D. Godfrey and J. W. Tukey, "Modern Techniques of Power Spectrum Estimation" I EEE Trans. Acoust. Electroacoust., AU-15, 2, 6-16.`

CITED BY 25

	Bruce W. Schmeiser , Thanos N. Avramidis , Sherif Hashem, Overlapping batch statistics, Proceedings of the 22nd conference on Winter simulation, p.395-398, December 09-12, 1990, New Orleans, Louisiana, United States
	Christos Alexopoulos , Andrew F. Seila, Implementing the batch means method in simulation experiments, Proceedings of the 28th conference on Winter simulation, p.214-221, December 08-11, 1996, Coronado, California, United States
	Christos Alexopoulos, A review of advanced methods for simulation output analysis, Proceedings of the 26th conference on Winter simulation, p.133-140, December 11-14, 1994, Orlando, Florida, United States
	Yingchieh Yeh , Bruce W. Schmeiser, On the MSE robustness of batching estimators, Proceedings of the 33nd conference on Winter simulation, December 09-12, 2001, Arlington, Virginia
	Christos Alexopoulos, Advanced methods for simulation output analysis, Proceedings of the 27th conference on Winter simulation, p.101-109, December 03-06, 1995, Arlington, Virginia, United States
	Wheyming Tina Song , Neng-Hui Shih , Mingjian Yuan, Optimal quadratic-form estimator of the variance of the sample mean, Proceedings of the 29th conference on Winter simulation, p.246-252, December 07-10, 1997, Atlanta, Georgia, United States
	Christos Alexopoulos, Advanced simulation output analysis for a single system, Proceedings of the 25th conference on Winter simulation, p.89-96, December 12-15, 1993, Los Angeles, 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
	Bruce W. Schmeiser , Wheyming Tina Song, Batching methods in simulation output analysis: what we know and what we don't, Proceedings of the 28th conference on Winter simulation, p.122-127, December 08-11, 1996, Coronado, California, United States
	David Goldsman , Bruce W. Schmeiser, Computational efficiency of batching methods, Proceedings of the 29th conference on Winter simulation, p.202-207, December 07-10, 1997, Atlanta, Georgia, United States
	Christos Alexopoulas , Andrew F. Seila, Advanced methods for simulation output analysi8, Proceedings of the 30th conference on Winter simulation, p.113-120, December 13-16, 1998, Washington, D.C., United States
	Andrew F. Seila, Advanced output analysis for simulation, Proceedings of the 24th conference on Winter simulation, p.190-197, December 13-16, 1992, Arlington, Virginia, United States
	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
	Edjair Mota , Adam Wolisz , Krzysztof Pawlikowski, A perspective of batching methods in a simulation environment of multiple replications in parallel, Proceedings of the 32nd conference on Winter simulation, December 10-13, 2000, Orlando, Florida
	Christos Alexopoulos , Andrew F. Seila, Output analysis: output analysis for simulations, Proceedings of the 32nd conference on Winter simulation, December 10-13, 2000, Orlando, Florida
	Christos Alexopoulos , Seong-Hee Kim, Statistical analysis of simulation output: output data analysis for simulations, Proceedings of the 34th conference on Winter simulation: exploring new frontiers, December 08-11, 2002, San Diego, California
	Christos Alexopoulos , Andrew F. Seila, Output analysis: output data analysis for simulations, Proceedings of the 33nd conference on Winter simulation, December 09-12, 2001, Arlington, Virginia
	David Goldsman , James O. Henriksen , Pierre L'Ecuyer , Barry L. Nelson , David H. Withers , Nilay Tanik Argon, Fortieth anniversary special panel: Landmark papers, Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come, December 09-12, 2007, Washington D.C.
	Christos Alexopoulos, A comprehensive review of methods for simulation output analysis, Proceedings of the 37th conference on Winter simulation, December 03-06, 2006, Monterey, California
	Christos Alexopoulos , Seong-Hee Kim, Review of advanced methods for simulation output analysis, Proceedings of the 37th conference on Winter simulation, December 04-07, 2005, Orlando, Florida
	Tûba Aktaran-Kalayci , David Goldsman, Linear combinations of overlapping variance estimators for simulations, Proceedings of the 37th conference on Winter simulation, December 04-07, 2005, Orlando, Florida
	Christos Alexopoulos , David Goldsman , Nilay Tanik Argon , Gamze Tokol, Overlapping variance estimators for simulations, Proceedings of the 36th conference on Winter simulation, December 05-08, 2004, Washington, D.C.
	David Goldsman , James O. Henriksen , Pierre L'Ecuyer , Barry L. Nelson , David H. Withers , Nilay Tanik Argon, Fortieth anniversary special panel: Landmark papers, Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come, December 09-12, 2007, Washington D.C.
	Christos Alexopoulos, Statistical analysis of simulation output: state of the art, Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come, December 09-12, 2007, Washington D.C.
	Wheyming Tina Song , Mingchang Chih, Implementable mse-optimal dynamic partial-overlapping batch means estimators for steady-state simulations, Proceedings of the 40th Conference on Winter Simulation, December 07-10, 2008, Miami, Florida

INDEX TERMS

Primary Classification:
G. Mathematics of Computing

Additional Classification:
I. Computing Methodologies
I.6 SIMULATION AND MODELING

General Terms:
Design, Performance, Theory

Collaborative Colleagues:

Peter D. Welch: colleagues

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