Permuted standardized time series for steady-state simulations

Document Type

Article

Publication Date

9-13-2006

Abstract

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. © 2006 INFORMS.

Identifier

33748433397 (Scopus)

Publication Title

Mathematics of Operations Research

External Full Text Location

https://doi.org/10.1287/moor.1050.0183

e-ISSN

15265471

ISSN

0364765X

First Page

351

Last Page

368

Issue

2

Volume

31

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