A Finite-Memory Algorithm for Batch Means Estimators in Simulation Output Analysis

作者：Song Wheyming Tina^*

来源：IEEE Transactions on Automatic Control, 2011, 56(5): 1157-1162.

DOI：10.1109/TAC.2011.2106830

• Batch means estimators
• mean squared error
• variance of the sample mean

A classic problem of stochastic simulation is estimating the variance of point estimators, the prototype estimator being the sample mean from a steady-state autocorrelated process. The traditional batch means (BM) estimator requires knowledge of the sample size a priori. This paper proposes an algorithm to implement certain BM estimators without knowing the sample size in advance. The proposed algorithm is useful when the run length is random or is extremely long in simulation models.

• 出版日期2011-5
• 单位清华大学