Estimating the Asymptotic Variance with Batch Means

P. W. Glynn and W. Whitt

Operations Research Letters, Vol. 10, 431-435 (1991)

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.