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Estimating the asymptotic variance with batch means. (English) Zbl 0744.62113

Summary: We show that there is no batch-means estimation procedure for consistently estimating the asymptotic variance when the number of batches is held fixed as the run length increases. This result suggests that the number of batches should increase as the run length increases for sequential stopping rules based on batch means.

MSC:

62L12 Sequential estimation
62L15 Optimal stopping in statistics
62C99 Statistical decision theory
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