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| Author: | Bischak, D. Kelton, W. Pollock, S. |
| Title: | Weighted batch means for confidence intervals in steady-state simulations |
| Journal: | Management Science
1993 : AUG, VOL. 39:8, p. 1002-1019 |
| Index terms: | SIMULATION BIAS MANAGEMENT SCIENCE |
| Language: | eng |
| Abstract: | The authors propose a new procedure for providing confidence-interval estimators of the mean of a covariance-stationary process. The procedure, a modification of the method of bach means, is an improvement over existing methods when the process displays strong correlation and a comparatively small number of observations is available. The authors assign weights to the observations within a bach. The weighs are determined by the order of the time-series model fit to the process and by its estimated parameters. |
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