Properties of Batch Means from Stationary ARMA (Autoregressive Moving Average) Time Series.

Abstract

The batch means process arising from an arbitrary autoregressive moving-average (ARMA) process time series is derived. As side results, the variance and correlation structures of the batch means process as functions of the batch size and parameters of the original process are obtained. Except for the first-order ARMA process, for which a closed-form expression is obtained, the parameters of the batch-means process are determined numerically. Keywords: Monte Carlo method; Simulation. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1986
Accession Number
ADA165187

Entities

People

  • Bruce Schmeiser
  • Keebom Kang

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Autocorrelation
  • Data Science
  • Industrial Engineering
  • Information Science
  • Knowledge Management
  • Monte Carlo Method
  • New York
  • Operations Research
  • Random Variables
  • Security
  • Simulations
  • Stationary Processes
  • Statistical Algorithms
  • Statistical Analysis
  • Stochastic Processes

Fields of Study

  • Engineering
  • Mathematics

Readers

  • Statistical inference.