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- W2065755655 abstract "We wish to estimate the variance of the sample mean from a continuous-time stationary stochastic process. This article expands on the results of a technical note (Goldsman and Schruben 1990) by using the theory of standardized time series to investigate weighted generalizations of Schruben's area variance estimator. We find a simple expression for the bias of the weighted area variance estimator, and we give weights which yield variance estimators with lower asymptotic bias than certain other popular estimators. We use the weighted area variance estimators to derive asymptotically valid confidence interval estimators (CIEs) for the mean of a stationary stochastic process. Although the weighted area CIEs have the same asymptotic expected value and variance of the length as Schruben's area CIE, we show that the new CIEs sometimes yield coverages which are closer to the nominal value." @default.
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- W2065755655 date "1990-05-01" @default.
- W2065755655 modified "2023-09-29" @default.
- W2065755655 title "Properties of Standardized Time Series Weighted Area Variance Estimators" @default.
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- W2065755655 doi "https://doi.org/10.1287/mnsc.36.5.602" @default.
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