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Note---New Confidence Interval Estimators Using Standardized Time Series

Author

Listed:
  • David Goldsman

    (School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332)

  • Lee Schruben

    (School of Operations Research and Industrial Engineering, Cornell University, Ithaca, New York 14853)

Abstract

We develop new asymptotically valid confidence interval estimators (CIE's) for the underlying mean of a stationary simulation process. The new estimators are weighted generalizations of Schruben's standardized time series area CIE. We show that the weighted CIE's have the same asymptotic expected length and variance of the length as the area CIE; but in the small sample environment, the new CIE's exhibit performance characteristics which are different from those of the area CIE.

Suggested Citation

  • David Goldsman & Lee Schruben, 1990. "Note---New Confidence Interval Estimators Using Standardized Time Series," Management Science, INFORMS, vol. 36(3), pages 393-397, March.
    • Handle: RePEc:inm:ormnsc:v:36:y:1990:i:3:p:393-397
    DOI: 10.1287/mnsc.36.3.393
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    Citations

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    Cited by:

    1. David Goldsman & Keebom Kang & Andrew F. Seila, 1999. "Cramér-von Mises Variance Estimators for Simulations," Operations Research, INFORMS, vol. 47(2), pages 299-309, April.
    2. Christos Alexopoulos & David Goldsman & Gamze Tokol, 2001. "Properties of Batched Quadratic-Form Variance Parameter Estimators for Simulations," INFORMS Journal on Computing, INFORMS, vol. 13(2), pages 149-156, May.
    3. David Goldsman & Lee W. Schruben & James J. Swain, 1994. "Tests for transient means in simulated time series," Naval Research Logistics (NRL), John Wiley & Sons, vol. 41(2), pages 171-187, March.
    4. Halim Damerdji & David Goldsman, 1995. "Consistency of several variants of the standardized time series area variance estimator," Naval Research Logistics (NRL), John Wiley & Sons, vol. 42(8), pages 1161-1176, December.
    5. Barniv, Ran & Mehrez, Abraham & Kline, Douglas M., 2000. "Confidence intervals for controlling the probability of bankruptcy," Omega, Elsevier, vol. 28(5), pages 555-565, October.
    6. James M. Calvin & Marvin K. Nakayama, 2006. "Permuted Standardized Time Series for Steady-State Simulations," Mathematics of Operations Research, INFORMS, vol. 31(2), pages 351-368, May.
    7. Christos Alexopoulos & Nilay Tanık Argon & David Goldsman & Gamze Tokol & James R. Wilson, 2007. "Overlapping Variance Estimators for Simulation," Operations Research, INFORMS, vol. 55(6), pages 1090-1103, December.
    8. David Goldsman & Keebom Kang & Seong‐Hee Kim & Andrew F. Seila & Gamze Tokol, 2007. "Combining standardized time series area and Cramér–von Mises variance estimators," Naval Research Logistics (NRL), John Wiley & Sons, vol. 54(4), pages 384-396, June.

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