Properties of batch means from stationary ARMA time series
propertiesofbatc00kang.pdf (769.9Kb)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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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.NPS Report Number
NPS55-86-004Related items
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