Properties of batch means from stationary ARMA time series
By: Keebom Kang, Bruce Schmeiser
Contributors: Schmeiser, Bruce; Naval Postgraduate School (U.S.). Dept. of Operations Research
Publisher: Naval Postgraduate School; Available from National Technical Information Service
Published: 1986
Place of publication: Monterey, Calif; Springfield, Va
Language: eng
Number of pages: 10
Subjects: TIME SERIES ANALYSIS
Other titles: NPS-55-86-004.
Description: 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)
Notes: Title from cover.

"NPS-55-86-004."

"February 1986."

AD A165 187.

Includes bibliographical references (p. 7-8).

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