Title :
Confidence interval estimation using linear combinations of overlapping variance estimators
Author :
Aktaran-Kalayc, Tûba ; Goldsman, David ; Wilson, James R.
Author_Institution :
Univ. at Buffalo, Buffalo
Abstract :
We develop new confidence-interval estimators for the mean and variance parameter of a steady-state simulation output process. These confidence intervals are based on optimal linear combinations of overlapping estimators for the variance parameter. We present analytical and simulation-based results exemplifying the potential of this technique for improvements in accuracy for confidence intervals.
Keywords :
estimation theory; parameter estimation; simulation; confidence interval estimation; optimal linear combination; overlap variance parameter estimation; steady-state simulation output process; Analytical models; Industrial engineering; Modeling; Monte Carlo methods; Sociotechnical systems; State estimation; Statistical analysis; Steady-state; Stochastic processes; Systems engineering and theory;
Conference_Titel :
Simulation Conference, 2007 Winter
Conference_Location :
Washington, DC
Print_ISBN :
978-1-4244-1306-5
Electronic_ISBN :
978-1-4244-1306-5
DOI :
10.1109/WSC.2007.4419634
