VARIANCE OF THE SAMPLE-MEAN - PROPERTIES AND GRAPHS OF QUADRATIC-FORM ESTIMATORS
成果类型：
Article
署名作者：
SONG, WMT; SCHMEISER, BW
署名单位：
Purdue University System; Purdue University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.41.3.501
发表日期：
1993
页码：
501-517
关键词：
摘要：
Many commonly used estimators of the variance of the sample mean from a covariance-stationary process can be written as quadratic forms. We study the class of quadratic-form estimators algebraically and graphically, including five specific types of estimators, some from the literature and some that are new. Finite and asymptotic bias, variance, and co are derived and examined, with emphasis on developing intuition and insight by interpreting these properties graphically. The graphs depict the nonoptimal statistical behavior of some of the simulation literature estimators such as nonoverlapping batch means, as well as the better behavior of estimators obtained by overlapping batches.