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https://hdl.handle.net/20.500.11851/1606
Title: | Reflected variance estimators for simulation | Authors: | Meterelliyoz Kuyzu, Melike Alexopoulos, Christos Goldsman, David Kalaycı, Tuba Aktaran |
Keywords: | Cramr-von Mises variance estimator area variance estimator Stationary simulation output analysis reflected variance estimator |
Publisher: | Taylor & Francis Inc | Source: | Meterelliyoz, M., Alexopoulos, C., Goldsman, D., & Aktaran-Kalayci, T. (2015). Reflected variance estimators for simulation. IIE Transactions, 47(11), 1185-1202. | Abstract: | We propose a new class of estimators for the asymptotic variance parameter of a stationary simulation output process. The estimators are based on Standardized Time Series (STS) functionals that converge to Brownian bridges that are themselves derived from appropriately reflected Brownian motions. The main result is that certain linear combinations of reflected estimators have substantially smaller variances than their constituents. We illustrate the performance of the new estimators via Monte Carlo experiments. These experiments show that the reflected estimators behave as expected and, in addition, perform better than certain competitors such as nonoverlapping batch means estimators and STS folded estimators. | URI: | https://ieeexplore.ieee.org/document/5679063 https://hdl.handle.net/20.500.11851/1606 |
ISSN: | 0740-817X |
Appears in Collections: | İşletme Bölümü / Department of Management Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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