On the robustness of batching estimators |
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Authors: | Yingchieh Yeh Bruce Schmeiser |
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Institution: | a Department of Business Administration, Yuan Ze University, Taoyuan, Taiwan b School of Industrial Engineering, Purdue University, West Lafayette, IN 47907-2023, USA |
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Abstract: | We propose and investigate an alternative definition of robustness for estimators of the variance of the sample mean arising in steady-state simulation experiments. The alternative definition implies that—of all known batching estimators—overlapping-batch-means estimators have both optimal mean squared error and optimal robustness. |
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Keywords: | Monte Carlo Simulation Statistical analysis Standard error |
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