Standardized Time Series Lp-Norm Variance Estimators for Simulations
Gamze Tokol, David Goldsman, Daniel H. Ockerman, James J. Swain
Management Science · 1998 · Volume 44 · Issue 2
Abstract
This paper studies a class of estimators for the variance parameter of a stationary stochastic process. The estimators are based on L p norms of standardized time series, and they generalize previously studied estimators due to Schruben. We show that the new estimators have some desirable properties: they are asymptotically unbiased and have low asymptotic variance. We also illustrate empirically the performance of the L p -norm estimators on various stochastic processes.
Keywords
Simulation, Stationary Process, Variance Estimation, Standardized Time Series, Lp-Norm Estimator
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