Author: Wolfgang Bziuk
Short Description:
The method of batch-means seeks to obtain a sequence of independent samples (batch-means) by aggregating h successive observations of a steady state simulation. The batch size has to be large enough so that the first order correlation of batch-means is below a positive small threshold. For some performance measures this simple rule does not meet the requirements because the correlation may rise again for larger batch sizes, which may result in a too optimistic estimate of confidence intervals.
Keywords:
simulation
batch-means
data analysis
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