Note—New Confidence Interval Estimators Using Standardized Time Series

We develop new asymptotically valid confidence interval estimators (CIE's) for the underlying mean of a stationary simulation process. The new estimators are weighted generalizations of Schruben's standardized time series area CIE. We show that the weighted CIE's have the same asymptotic expected length and variance of the length as the area CIE; but in the small sample environment, the new CIE's exhibit performance characteristics which are different from those of the area CIE.

• 저널Management Science · 36(3) · 393–397
• 토픽Simulation Techniques and Applications · Management Science and Operations Research
• DOI10.1287/mnsc.36.3.393
• 저자David Goldsman, Lee W. Schruben