BEHAVIOR OF SAMPLE MEANS AND PARAMETRIC TIME SERIES ESTIMATION. Conference Paper

abstract

• The standard error of the sample mean for autocorrelated data is directly proportional to the value of the spectral density evaluated at zero frequency of the process being sampled. Thus, confidence intervals for the true mean using traditional formulas can be greatly in error. The author describes both parametric and nonparametric methods of spectral density estimation and illustrates numerically the basic results using a microcomputer program called TIMESLAB which acts as a laboratory for studying such problems. The results indicate that in many situations, adjusting for autocorrelation is easily performed.

authors

• Newton, H. Joseph

published proceedings

• Winter Simulation Conference Proceedings

author list (cited authors)

• Newton, H. J

complete list of authors

• Newton, HJ

publication date

• January 1986

published in

• Winter Simulation Conference Proceedings  Journal

International Standard Book Number (ISBN) 10

• 0911801111

start page

• 343

end page

• 350