Estimating the variance of the sample mean from a stochastic process is essential in assessing the quality of using the sample mean to estimate the population mean, which is the fundamental question in simulation experiments. Most existing studies for estimating the variance of the sample mean...

This paper addresses the estimation of the variance of the sample mean from steady-state simulations without requiring the knowledge of simulation run length a priori. Dynamic batch means is a new and useful approach to implementing the traditional batch means in limited memory without the...