Folded overlapping variance estimators for simulation |
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Authors: | Melike Meterelliyoz Christos Alexopoulos David Goldsman |
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Affiliation: | 1. Department of Business Administration, TOBB University of Economics and Technology, Ankara, Turkey;2. H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332-0205, United States |
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Abstract: | We propose and analyze a new class of estimators for the variance parameter of a steady-state simulation output process. The new estimators are computed by averaging individual estimators from “folded” standardized time series based on overlapping batches composed of consecutive observations. The folding transformation on each batch can be applied more than once to produce an entire set of estimators. We establish the limiting distributions of the proposed estimators as the sample size tends to infinity while the ratio of the sample size to the batch size remains constant. We give analytical and Monte Carlo results showing that, compared to their counterparts computed from nonoverlapping batches, the new estimators have roughly the same bias but smaller variance. In addition, these estimators can be computed with order-of-sample-size work. |
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Keywords: | Simulation output analysis Area variance estimator Overlapping variance estimator Folded variance estimator |
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