New recursive estimators of the time-average variance constant-Reference-Cited by-同舟云学术

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New recursive estimators of the time-average variance constant

Published:2015-02-14 Issue:3 Volume:26 Page:609-627
ISSN:0960-3174
Container-title:Statistics and Computing
language:en
Short-container-title:Stat Comput

Author:

Yau Chun Yip,Chan Kin Wai

Publisher

Springer Science and Business Media LLC

Subject

Computational Theory and Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability,Theoretical Computer Science

Link

http://link.springer.com/content/pdf/10.1007/s11222-015-9548-7.pdf

Reference57 articles.

1. Alexopoulos, C., Argon, N.T., Goldsman, D., Steiger, N.M., Tokol, G., Wilson, J.R.: Efficient computation of overlapping variance estimators for simulation. INFORMS J. Comput. 19, 314–327 (2007a)

2. Alexopoulos, C., Goldsman, N.T., Goldsman, D., Tokol, G., Wilson, J.R.: Overlapping variance estimators for simulation. Oper. Res. 55, 1090–1103 (2007b)

3. Alexopoulos, C., Fishman, G.S., Seila, A.F.: Computational experience with the batch means method. Proceedings of the Winter Simulation Conference, pp. 194–201. IEEE, Piscataway, New Jersey (1997)

4. Alexopoulos, C., Goldsman, D.: To batch or not to batch? ACM Trans. Model. Comput. Simul. 14, 76–114 (2004)

5. Alexopoulos, C., Goldsman, D., Tang, P., Wilson, J.R.: A sequential procedure for estimating the steady-state mean using standardized time series. Proceedings of the Winter Simulation Conference, pp. 613–622. IEEE, Piscataway, New Jersey (2013)

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1. Optimal difference-based variance estimators in time series: A general framework;The Annals of Statistics;2022-06-01

2. Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation;Journal of Business & Economic Statistics;2020-08-20

3. Weighted batch means estimators in Markov chain Monte Carlo;Electronic Journal of Statistics;2018-01-01

4. Automatic Optimal Batch Size Selection for Recursive Estimators of Time-Average Covariance Matrix;Journal of the American Statistical Association;2017-04-12

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