Permuted standardized time series for steady-state simulations

• 成果类型: Article
• 署名作者: Calvin, James M.; Nakayama, Marvin K.
• 署名单位: New Jersey Institute of Technology
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1050.0183
• 发表日期: 2006
• 页码: 351-368
• 关键词: confidence-interval estimators

摘要

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.