期刊
MATHEMATICS OF OPERATIONS RESEARCH
卷 31, 期 2, 页码 351-368出版社
INFORMS
DOI: 10.1287/moor.1050.0183
关键词
steady-state simulation; confidence intervals; functional central limit theorem
We describe an extension procedure for constructing new standardized time series procedures from existing ones. The approach is based on averaging over sample paths obtained by permuting path segments. Analytical and empirical results indicate that permuting improves standardized time series methods. We compare permuting to an alternative extension procedure known as batching. We demonstrate the permuting method by applying it to estimators based on the maximum and the area of a normalized path.
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