Properties of batch means from stationary ARMA time series
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Authors
Kang, Keebom
Schmeiser, Bruce
Subjects
aggregated time series
batch means
autoregressive, moving average
Monte Carlo
simulation
batch means
autoregressive, moving average
Monte Carlo
simulation
Advisors
Date of Issue
1986-02
Date
1986-02
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
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)
Type
Technical Report
Description
Series/Report No
Department
Identifiers
NPS Report Number
NPS55-86-004
Sponsors
Naval Postgraduate School, Monterey, CA
Funder
Format
Citation
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.