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| Titel: |
The Correlation Between Mean and Variance Estimators in Computer Simulation |
| Auteur: |
Kang, Keebom Goldsman, David |
| Verschenen in: |
IIE transactions |
| Paginering: | Jaargang 22 (1990) nr. 1 pagina's 15-23 |
| Jaar: |
1990-03-01 |
| Inhoud: |
Consider the problem of estimating confidence intervals for the mean of a stationary stochastic process. Denote the point estimator for the process mean by [image omitted], and let [image omitted]be an estimator for limn -∞nVar([image omitted]), the variance parameter. In this paper, we derive expressions for the correlation between [image omitted]and [image omitted] for various variance parameter estimators and stochastic processes. Among the variance estimators under study are those arising from the methods of nonoverlapping batched means, overlapping batched means, and standardized time series. Also, we empirically examine the relationships between Corr([image omitted] [image omitted]) and Confidence interval estimator performance; we see that Corr([image omitted] [image omitted]) affects the symmetry of confidence interval coverage, but not necessarily the actual coverage. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 11 van 11 gevonden artikelen
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