On the robustness of batching estimators

Yingchieh Yeh, Bruce Schmeiser

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

The study of an alternative robustness definition for batching estimators, related with the variance of sample mean, was investigated. The steady-state simulation experiments were considered for studying the estimators of sample mean variance. The alternative definition proved that the overlapping-batch-means (OBM) estimators possessed both the optimal mean squared error (MSE) and optimal robustness. The comparison results of different estimators based on MSE optimal performance and minimal asymptotic MSE were also discussed.

Original languageEnglish
Pages (from-to)293-298
Number of pages6
JournalOperations Research Letters
Volume32
Issue number3
DOIs
StatePublished - May 2004

Keywords

  • Monte Carlo
  • Simulation
  • Standard error
  • Statistical analysis

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