TY - JOUR
ID - 71159
TI - Confidence Interval Estimation of the Mean of Stationary Stochastic Processes: a Comparison of Batch Means and Weighted Batch Means Approach (TECHNICAL NOTE)
JO - International Journal of Engineering
JA - IJE
LA - en
SN - 1025-2495
AU - Niaki, S.T.A.
AD - Industrial Engineering, Sharif University of Technology
Y1 - 1996
PY - 1996
VL - 9
IS - 3
SP - 175
EP - 179
KW - Simulation
KW - Output Analysis
KW - (Weighted) Batch Means
DO -
N2 - Suppose that we have one run of n observations of a stochastic process by means of computer simulation and would like to construct a condifence interval for the steady-state mean of the process. Seeking for independent observations, so that the classical statistical methods could be applied, we can divide the n observations into k batches of length m (n= k.m) or alternatively, transform the correlated batch means vector into an independent vector. These methods are known as (ordinary) batch means and weighted batch means, respectively. In this paper, using the probability of coverage and the half length of a confidence interval as criteria for comparison, we empirically show that weighted batch means is superior to ordinary batch means, and that it is less sensitive to batch sizes and total number of observations.
UR - https://www.ije.ir/article_71159.html
L1 - https://www.ije.ir/article_71159_68e8af29e53dbb1b10f7784bbd84afca.pdf
ER -