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Estimating the asymptotic variance with batch means
, 1991
"... We show that there is no batchmeans estimation procedure for consistently estimating the asymptotic variance when the number of batches is held fixed as the run length increases. This result suggests that the number of batches should increase as the run length increases for sequential stopping rule ..."
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Cited by 22 (2 self)
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We show that there is no batchmeans estimation procedure for consistently estimating the asymptotic variance when the number of batches is held fixed as the run length increases. This result suggests that the number of batches should increase as the run length increases for sequential stopping
LargeSample Results for Batch Means
 Management Science 43:1288–1295
, 1996
"... In analyzing the output process generated by a steadystate simulation, we often seek to estimate the expected value of the output. The sample mean based on a finite sample of size n is usually the estimator of choice for the steadystate mean; and a measure of the sample mean's precision is th ..."
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is the variance parameter, i.e., the limiting value of the sample size multiplied by the variance of the sample mean as n becomes large. This paper establishes asymptotic properties of the conventional batchmeans (BM) estimator of the variance parameter as both the batch size and the number of batches become
Implementing the batch means method in simulation experiments
 In Proceedings of the 1996 Winter Simulation Conference
, 1996
"... This paper reviews and evaluates strategies for implementing the batch means method for estimating the mean of a stationary simulation output process. 1 ..."
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Cited by 3 (0 self)
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This paper reviews and evaluates strategies for implementing the batch means method for estimating the mean of a stationary simulation output process. 1
OVERLAPPING BATCH MEANS: MEANS: SOMETHING FOR NOTHING?
"... Nonoverlapping batch means (NOLBM) is a a we11known approach For For estimating the variance of the sample mean. In this paper we consider an overlapping batch means (OLBM) estimator that, based on the same assumptions and batch size as as NOLBM, has has essentially the same mean and only 2/3 the a ..."
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Nonoverlapping batch means (NOLBM) is a a we11known approach For For estimating the variance of the sample mean. In this paper we consider an overlapping batch means (OLBM) estimator that, based on the same assumptions and batch size as as NOLBM, has has essentially the same mean and only 2
Computational Experience With the Batch Means Method
, 1997
"... Thisarticlediscussesimplementationissuesforthe LBATCHandABATCHbatchmeansproceduresof FishmanandYarberry(1997).Thesesproceduresdynamicallyincreasethebatchsizeandthenumberof contiguousbatchesbasedontheoutcomeofahypothesistestforindependenceamongthebatchmeans. WeshowthatbothproceduresrequireO(n)time a ..."
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Cited by 7 (3 self)
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Thisarticlediscussesimplementationissuesforthe LBATCHandABATCHbatchmeansproceduresof FishmanandYarberry(1997).Thesesproceduresdynamicallyincreasethebatchsizeandthenumberof contiguousbatchesbasedontheoutcomeofahypothesistestforindependenceamongthebatchmeans. WeshowthatbothproceduresrequireO(n)time andO(log 2 n)space,wherenisthedesiredsample size.Althoughlikecomplexitiesareknownforstatic fixedbatchsizealgorithms,thedynamicsettingofthe LBATCHandABATCHruleso#ersanimportantadditionaladvantagenotpresentinthestaticapproach. Astheanalysisevolveswithincreasingsamplepath length,itallowsausertoassesshowwelltheestimatedvarianceofthesamplemeanstabilizes. This assessmentisessentialtogaugethequalityofthe confidenceintervalforthesamplemean.TheLABATCHimplementation (describedinFishman1996 andFishmanandYarberry1997)oftheLBATCH andABATCHrulesistheonlycomputerpackagethat automaticallygeneratesthedataforthisassessment. 1
An Improved Batch Means Procedure for Simulation Output Analysis
"... algorithm for steadystate simulation output analysis based on the method of nonoverlapping batch means (NOBM). ASAP delivers a confidence interval for an expected response that is centered on the sample mean of a portion of a simulationgenerated time series and satisfies a userspecified absolute ..."
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algorithm for steadystate simulation output analysis based on the method of nonoverlapping batch means (NOBM). ASAP delivers a confidence interval for an expected response that is centered on the sample mean of a portion of a simulationgenerated time series and satisfies a userspecified absolute
An Improved Batch Means Procedure for Simulation Output Analysis
"... this paper is organized as follows. Section 2 contains an overview of the operation of ASAP. Section 3 documents the statistical methods used by ASAP to test a sequence of batch means separately for independence and multivariate normality. In Section 4 we describe howASAP builds a time series model ..."
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Cited by 24 (15 self)
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this paper is organized as follows. Section 2 contains an overview of the operation of ASAP. Section 3 documents the statistical methods used by ASAP to test a sequence of batch means separately for independence and multivariate normality. In Section 4 we describe howASAP builds a time series model
Simulation Output Analysis Via Dynamic Batch Means
, 2000
"... This paper is focused on estimating the quality of the sample mean from a steadystate simulation experiment with consideration of computational efficiency, memory requirement, and statistical efficiency. In addition, we seek methods that do not require knowing run length a priori. We develop an alg ..."
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Cited by 1 (0 self)
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an algorithm of nonoverlapping batch means that is implemented in fixed memory by dynamically changing both batch size and number of batches as the simulation runs. The algorithm, denoted by DBM for Dynamic Batch Means, requires computation time similar to other batch means datacollection methods, despite its
OVERLAPPING BATCH MEANS: SOMETHING MORE FOR NOTHING?
"... Output analysis methods that provide reliable point and confidenceinterval estimators for system performance characteristics are critical elements of any modern simulation project. Remarkable advances in simulation output analysis have been achieved over the last thirty years, in part owing to the ..."
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to the application of datareuse techniques designed to improve estimator accuracy and efficiency. Many of the key insights regarding data reuse are given in the seminal 1984 Winter Simulation Conference paper by Meketon and Schmeiser that is titled “Overlapping Batch Means: Something for Nothing
ASAP3: A batch means procedure for steadystate simulation analysis
 ACM Transactions on Modeling and Computer Simulation
, 2005
"... We introduce ASAP3, a refinement of the batch means algorithms ASAP and ASAP2, that delivers point and confidenceinterval estimators for the expected response of a steadystate simulation. ASAP3 is a sequential procedure designed to produce a confidenceinterval estimator that satisfies userspecif ..."
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Cited by 36 (23 self)
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We introduce ASAP3, a refinement of the batch means algorithms ASAP and ASAP2, that delivers point and confidenceinterval estimators for the expected response of a steadystate simulation. ASAP3 is a sequential procedure designed to produce a confidenceinterval estimator that satisfies user
Results 1  10
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1,102