Abstract:We describe the results of numerical experiments evaluating the efficiency of variance estimators based on integrated sample paths. The idea behind the estimators is to compute a vector of integrated paths and combine them to form an estimator of the time-average variance constant that is used, for example, in the construction of confidence intervals. When used in conjunction with batching, the approach generalizes the method of non-overlapping batch means. Compared with non-overlapping batch means, the estima… Show more
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