Similar Search Results

Note---New Confidence Interval Estimators Using Standardized Time Series

Goldsman, David; Schruben, Lee - In: Management Science 36 (1990) 3, pp. 393-397

We develop new asymptotically valid confidence interval estimators (CIE's) for the underlying mean of a stationary simulation process. The new estimators are weighted generalizations of Schruben's standardized time series area CIE. We show that the weighted CIE's have the same asymptotic...

Persistent link: https://www.econbiz.de/10009214300

Properties of Standardized Time Series Weighted Area Variance Estimators

Goldsman, David; Meketon, Marc; Schruben, Lee - In: Management Science 36 (1990) 5, pp. 602-612

We wish to estimate the variance of the sample mean from a continuous-time stationary stochastic process. This article expands on the results of a technical note (Goldsman and Schruben 1990) by using the theory of standardized time series to investigate weighted generalizations of Schruben's...

Persistent link: https://www.econbiz.de/10009218065

Optimal Mean-Squared-Error Batch Sizes

Song, Wheyming Tina; Schmeiser, Bruce W. - In: Management Science 41 (1995) 1, pp. 110-123

When an estimator of the variance of the sample mean is parameterized by batch size, one approach for selecting batch size is to pursue the minimal mean squared error (mse). We show that the convergence rate of the variance of the sample mean, and the bias of estimators of the variance of the...

Persistent link: https://www.econbiz.de/10009192007

A Bayesian framework for quantifying uncertainty in stochastic simulation

Xie, Wei; Nelson, Barry L.; Barton, Russell R. - In: Operations research 62 (2014) 6, pp. 1439-1452

Persistent link: https://www.econbiz.de/10010471836

Efficient budget allocation strategies for elementary effectsmethod in stochastic simulation

Shi, Wen; Chen, Xi - In: Naval research logistics : an international journal 65 (2018) 3, pp. 218-241

Persistent link: https://www.econbiz.de/10012166187

Efficient VaR and CSaR measurement via stochastic kriging

Chen, Xi; Kim, Kyoung-Kuk - In: INFORMS journal on computing : JOC 28 (2016) 4, pp. 629-644

Persistent link: https://www.econbiz.de/10011617535

BAYESIAN FORECASTING USING STOCHASTIC SIMULATION

Muñoz Negrón, David F. - In: Journal of Economics, Finance and Administrative Science 14 (2009) 26, pp. 7-26

In this article, we present a general framework to construct forecasts using simulation. This framework allows us to incorporate available data into a forecasting model in order to assess parameter uncertainty through a posterior distribution, which is then used to estimate a point forecast in...

Persistent link: https://www.econbiz.de/10009319482

A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean

Muñoz, David F.; Glynn, Peter W. - In: Management Science 43 (1997) 8, pp. 1121-1135

(r) are obtained by combining three different point estimators (classical, batch means, and jackknife) with two different … variability estimators (classical and jackknife). The performances of the point estimators are discussed by considering asymptotic … expansions for their biases and mean squared errors. Our results show that, if the run length is large enough, the jackknife …

Persistent link: https://www.econbiz.de/10009198064