نتایج جستجو برای: batch means

تعداد نتایج: 378403  

Journal: :INFORMS Journal on Computing 2001
Natalie M. Steiger James R. Wilson

We examine key convergence properties of the steady-state simulation analysis method of nonoverlapping batch means (NOBM) when it is applied to a stationary, phi-mixing process. For an increasing batch size and a fixed batch count, we show that the standardized vector of batch means converges in distribution to a vector of independent standard normal variates—a well-known result underlying the ...

2003
Emily K. Lada

We develop an automated wavelet-based spectral method for constructing an approximate confidence interval on the steady-state mean of a simulation output process. This procedure, called WASSP, determines a batch size and a warmup period beyond which the computed batch means form an approximately stationary Gaussian process. Based on the log-smoothed-periodogram of the batch means, WASSP uses wa...

2009
James M. Flegal Galin L. Jones

Calculating a Monte Carlo standard error (MCSE) is an important step in the statistical analysis of the simulation output obtained from a Markov chain Monte Carlo experiment. An MCSE is usually based on an estimate of the variance of the asymptotic normal distribution. We consider spectral and batch means methods for estimating this variance. In particular, we establish conditions which guarant...

1998
Michael Sherman

The use of batch means is a well known technique for estimating the variance of point estimators computed from simulation experiments. The batch means variance estimator is simply the (appropriately scaled) sample variance of the estimator computed on subsets of consecutive observations. For the method to be practical, a good choice of batch length is necessary. We propose a method to estimate ...

2002
Natalie M. Steiger Emily K. Lada James R. Wilson Christos Alexopoulos David Goldsman Faker Zouaoui

We introduce ASAP2, an improved variant of the batchmeans algorithm ASAP for steady-state simulation output analysis. ASAP2 operates as follows: the batch size is progressively increased until the batch means pass the ShapiroWilk test for multivariate normality; and then ASAP2 delivers a correlation-adjusted confidence interval. The latter adjustment is based on an inverted Cornish-Fisher expan...

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