Title :
A maximum-likelihood interpretation of batch means estimators
Author_Institution :
Sch. of Ind. Eng., Purdue Univ., West Lafayette, IN, USA
Abstract :
We show how the classical batch means estimator of the variance parameter of a strictly stationary dependent stochastic process can be viewed as a maximum likelihood estimator based on asymptotic properties of the standardized time series of observations from the process
Keywords :
maximum likelihood estimation; stochastic processes; time series; asymptotic properties; batch means estimators; maximum likelihood estimator; maximum-likelihood interpretation; standardized time series; strictly stationary dependent stochastic process; variance parameter; Industrial engineering; Maximum likelihood estimation; Parameter estimation; Random variables; Sociotechnical systems; State estimation; Steady-state; Stochastic processes; Time measurement; Yield estimation;
Conference_Titel :
Simulation Conference Proceedings, 1995. Winter
Conference_Location :
Arlington, VA
Print_ISBN :
0-78033018-8
DOI :
10.1109/WSC.1995.478737
