{"id":"https://openalex.org/W4392806501","doi":"https://doi.org/10.1145/3649437","title":"Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation","display_name":"Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation","publication_year":2024,"publication_date":"2024-03-14","ids":{"openalex":"https://openalex.org/W4392806501","doi":"https://doi.org/10.1145/3649437"},"language":"en","primary_location":{"id":"doi:10.1145/3649437","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3649437","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3649437","source":{"id":"https://openalex.org/S38703467","display_name":"ACM Transactions on Modeling and Computer Simulation","issn_l":"1049-3301","issn":["1049-3301","1558-1195"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://dl.acm.org/doi/pdf/10.1145/3649437","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5102805113","display_name":"Ziwei Su","orcid":"https://orcid.org/0009-0006-3937-4087"},"institutions":[{"id":"https://openalex.org/I111979921","display_name":"Northwestern University","ror":"https://ror.org/000e0be47","country_code":"US","type":"education","lineage":["https://openalex.org/I111979921"]},{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Ziwei Su","raw_affiliation_strings":["Department of Statistics, Purdue University, West Lafayette, USA and Northwestern University, Evanston, United States"],"raw_orcid":"https://orcid.org/0009-0006-3937-4087","affiliations":[{"raw_affiliation_string":"Department of Statistics, Purdue University, West Lafayette, USA and Northwestern University, Evanston, United States","institution_ids":["https://openalex.org/I219193219","https://openalex.org/I111979921"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5055129023","display_name":"Raghu Pasupathy","orcid":"https://orcid.org/0000-0003-3680-1478"},"institutions":[{"id":"https://openalex.org/I219193219","display_name":"Purdue University West Lafayette","ror":"https://ror.org/02dqehb95","country_code":"US","type":"education","lineage":["https://openalex.org/I219193219"]},{"id":"https://openalex.org/I24676775","display_name":"Indian Institute of Technology Madras","ror":"https://ror.org/03v0r5n49","country_code":"IN","type":"facility","lineage":["https://openalex.org/I24676775"]}],"countries":["IN","US"],"is_corresponding":false,"raw_author_name":"Raghu Pasupathy","raw_affiliation_strings":["Department of Statistics, Purdue University, West Lafayette, United States and Department of Computer Science & Engineering, IIT Madras, Chennai, India"],"raw_orcid":"https://orcid.org/0000-0003-3680-1478","affiliations":[{"raw_affiliation_string":"Department of Statistics, Purdue University, West Lafayette, United States and Department of Computer Science & Engineering, IIT Madras, Chennai, India","institution_ids":["https://openalex.org/I219193219","https://openalex.org/I24676775"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5070069746","display_name":"Yingchieh Yeh","orcid":"https://orcid.org/0000-0002-6509-1009"},"institutions":[{"id":"https://openalex.org/I22265921","display_name":"National Central University","ror":"https://ror.org/00944ve71","country_code":"TW","type":"education","lineage":["https://openalex.org/I22265921"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Yingchieh Yeh","raw_affiliation_strings":["Institute of Industrial Management, National Central University, Taoyuan City, Taiwan"],"raw_orcid":"https://orcid.org/0000-0002-6509-1009","affiliations":[{"raw_affiliation_string":"Institute of Industrial Management, National Central University, Taoyuan City, Taiwan","institution_ids":["https://openalex.org/I22265921"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5019114258","display_name":"Peter W. Glynn","orcid":"https://orcid.org/0000-0003-1370-6638"},"institutions":[{"id":"https://openalex.org/I97018004","display_name":"Stanford University","ror":"https://ror.org/00f54p054","country_code":"US","type":"education","lineage":["https://openalex.org/I97018004"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Peter Glynn","raw_affiliation_strings":["Department of Management Science and Engineering, Stanford University, Stanford, United States"],"raw_orcid":"https://orcid.org/0000-0003-1370-6638","affiliations":[{"raw_affiliation_string":"Department of Management Science and Engineering, Stanford University, Stanford, United States","institution_ids":["https://openalex.org/I97018004"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5102805113"],"corresponding_institution_ids":["https://openalex.org/I111979921","https://openalex.org/I219193219"],"apc_list":null,"apc_paid":null,"fwci":1.873,"has_fulltext":true,"cited_by_count":6,"citation_normalized_percentile":{"value":0.84306102,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":97},"biblio":{"volume":"34","issue":"2","first_page":"1","last_page":"43"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12814","display_name":"Gaussian Processes and Bayesian Inference","score":0.991599977016449,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9901000261306763,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/quantile","display_name":"Quantile","score":0.7738864421844482},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.7550379037857056},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6823071241378784},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.5861377120018005},{"id":"https://openalex.org/keywords/studentized-range","display_name":"Studentized range","score":0.5038947463035583},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.48234957456588745},{"id":"https://openalex.org/keywords/point-estimation","display_name":"Point estimation","score":0.4818171560764313},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.4797752797603607},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.44595175981521606},{"id":"https://openalex.org/keywords/poisson-distribution","display_name":"Poisson distribution","score":0.44336551427841187},{"id":"https://openalex.org/keywords/confidence-interval","display_name":"Confidence interval","score":0.44239747524261475},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.43993815779685974},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.36821091175079346},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3418245017528534},{"id":"https://openalex.org/keywords/standard-error","display_name":"Standard error","score":0.1536169946193695}],"concepts":[{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.7738864421844482},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.7550379037857056},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6823071241378784},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.5861377120018005},{"id":"https://openalex.org/C125918824","wikidata":"https://www.wikidata.org/wiki/Q7627920","display_name":"Studentized range","level":3,"score":0.5038947463035583},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.48234957456588745},{"id":"https://openalex.org/C41426520","wikidata":"https://www.wikidata.org/wiki/Q1192065","display_name":"Point estimation","level":2,"score":0.4818171560764313},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.4797752797603607},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.44595175981521606},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.44336551427841187},{"id":"https://openalex.org/C44249647","wikidata":"https://www.wikidata.org/wiki/Q208498","display_name":"Confidence interval","level":2,"score":0.44239747524261475},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.43993815779685974},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.36821091175079346},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3418245017528534},{"id":"https://openalex.org/C18747219","wikidata":"https://www.wikidata.org/wiki/Q620994","display_name":"Standard error","level":2,"score":0.1536169946193695},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3649437","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3649437","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3649437","source":{"id":"https://openalex.org/S38703467","display_name":"ACM Transactions on Modeling and Computer Simulation","issn_l":"1049-3301","issn":["1049-3301","1558-1195"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1145/3649437","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3649437","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3649437","source":{"id":"https://openalex.org/S38703467","display_name":"ACM Transactions on Modeling and Computer Simulation","issn_l":"1049-3301","issn":["1049-3301","1558-1195"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G6247302988","display_name":null,"funder_award_id":"N000141712295 and 13000991","funder_id":"https://openalex.org/F4320337345","funder_display_name":"Office of Naval Research"}],"funders":[{"id":"https://openalex.org/F4320337345","display_name":"Office of Naval Research","ror":"https://ror.org/00rk2pe57"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4392806501.pdf","grobid_xml":"https://content.openalex.org/works/W4392806501.grobid-xml"},"referenced_works_count":71,"referenced_works":["https://openalex.org/W64404721","https://openalex.org/W149264218","https://openalex.org/W1026453771","https://openalex.org/W1509532469","https://openalex.org/W1509727679","https://openalex.org/W1522573619","https://openalex.org/W1528761061","https://openalex.org/W1602773783","https://openalex.org/W1644821451","https://openalex.org/W1964404845","https://openalex.org/W1975946839","https://openalex.org/W1983031115","https://openalex.org/W1993090270","https://openalex.org/W2018411588","https://openalex.org/W2020872171","https://openalex.org/W2026632944","https://openalex.org/W2028533810","https://openalex.org/W2030254416","https://openalex.org/W2030827464","https://openalex.org/W2032679978","https://openalex.org/W2033739720","https://openalex.org/W2035564857","https://openalex.org/W2061013678","https://openalex.org/W2065755655","https://openalex.org/W2080640988","https://openalex.org/W2086891822","https://openalex.org/W2091512600","https://openalex.org/W2101941468","https://openalex.org/W2106767915","https://openalex.org/W2106822551","https://openalex.org/W2110335061","https://openalex.org/W2113115437","https://openalex.org/W2114005321","https://openalex.org/W2122643824","https://openalex.org/W2124181495","https://openalex.org/W2126728600","https://openalex.org/W2126794261","https://openalex.org/W2138011412","https://openalex.org/W2141422615","https://openalex.org/W2145921259","https://openalex.org/W2146907324","https://openalex.org/W2154513807","https://openalex.org/W2161772062","https://openalex.org/W2212270310","https://openalex.org/W2488157181","https://openalex.org/W2494311810","https://openalex.org/W2503009418","https://openalex.org/W2514569044","https://openalex.org/W2516665506","https://openalex.org/W2734733109","https://openalex.org/W2796590271","https://openalex.org/W2797333853","https://openalex.org/W2802739963","https://openalex.org/W2904005292","https://openalex.org/W3015894552","https://openalex.org/W3021568715","https://openalex.org/W4211042066","https://openalex.org/W4214601662","https://openalex.org/W4231580960","https://openalex.org/W4232753567","https://openalex.org/W4239167255","https://openalex.org/W4244777963","https://openalex.org/W4245557262","https://openalex.org/W4253991977","https://openalex.org/W4254942564","https://openalex.org/W4300699176","https://openalex.org/W4302114916","https://openalex.org/W4310299640","https://openalex.org/W6630760779","https://openalex.org/W6670863661","https://openalex.org/W6766453513"],"related_works":["https://openalex.org/W2963308895","https://openalex.org/W4298801152","https://openalex.org/W2185047231","https://openalex.org/W1966919947","https://openalex.org/W2588275121","https://openalex.org/W2999188005","https://openalex.org/W2159903438","https://openalex.org/W164158064","https://openalex.org/W2899572845","https://openalex.org/W131879751"],"abstract_inverted_index":{"We":[0,224],"propose":[1,23],"a":[2,16,48,113,184],"general":[3],"purpose":[4],"confidence":[5,203],"interval":[6],"procedure":[7],"(CIP)":[8],"for":[9,39,162,244],"statistical":[10,41,74,110],"functionals":[11,140],"constructed":[12],"using":[13,194,226],"data":[14,88],"from":[15,71,175,215,228],"stationary":[17],"time":[18],"series.":[19],"The":[20,136,173],"procedures":[21],"we":[22,81,101],"are":[24,206],"based":[25],"on":[26,187],"derived":[27],"distribution-free":[28],"analogues":[29],"of":[30,51,79,86,108,132,141,149,155,169,208],"the":[31,40,77,91,98,104,109,121,142,147,150,153,159,167,170,188,222],"\u03c7":[32],"2":[33],"and":[34,44,65,97,152,234,241],"Student\u2019s":[35],"t":[36],"random":[37],"variables":[38],"functional":[42,111,185],"context":[43],"hence":[45],"apply":[46],"in":[47,181,192],"wide":[49],"variety":[50],"settings":[52,182],"including":[53],"quantile":[54],"estimation,":[55,57,64,69,230,233],"gradient":[56],"M-estimation,":[58],"Conditional":[59],"Value":[60],"at":[61,250],"Risk":[62],"(CVaR)":[63],"arrival":[66],"process":[67,144,237],"rate":[68,238],"apart":[70],"more":[72,216],"traditional":[73],"settings.":[75],"Like":[76],"method":[78],"subsampling,":[80],"use":[82],"overlapping":[83,196],"batches":[84,151,197],"(OB)":[85],"time-series":[87],"to":[89,118],"estimate":[90],"underlying":[92],"variance":[93],"parameter;":[94],"unlike":[95],"subsampling":[96,220],"bootstrap,":[99],"however,":[100],"assume":[102],"that":[103,180,205],"implied":[105],"point":[106,189],"estimator":[107,190],"obeys":[112],"central":[114],"limit":[115],"theorem":[116],"(CLT)":[117],"help":[119],"identify":[120],"weak":[122],"asymptotics":[123],"(called":[124],"OB-x":[125,137,199,245],"limits,":[126,138],"x":[127],"=":[128],"I,":[129],"II,":[130],"III)":[131],"batched":[133],"Studentized":[134],"statistics.":[135],"certain":[139],"Wiener":[143],"parameterized":[145],"by":[146],"size":[148],"extent":[154],"their":[156],"overlap,":[157],"form":[158],"essential":[160],"machinery":[161],"characterizing":[163],"dependence":[164],"and,":[165],"consequently,":[166],"correctness":[168],"proposed":[171],"CIPs.":[172],"message":[174],"extensive":[176],"numerical":[177],"experimentation":[178],"is":[179,191,248],"where":[183],"CLT":[186],"effect,":[193],"large":[195],"alongside":[198],"critical":[200,246],"values":[201,247],"yields":[202],"intervals":[204],"often":[207],"significantly":[209],"higher":[210],"quality":[211],"than":[212],"those":[213],"obtained":[214],"generic":[217],"methods":[218],"like":[219],"or":[221],"bootstrap.":[223],"illustrate":[225],"examples":[227],"CVaR":[229],"ARMA":[231],"parameter":[232],"non-homogeneous":[235],"Poisson":[236],"estimation;":[239],"R":[240],"MATLAB":[242],"code":[243],"available":[249],"web.ics.purdue.edu/\u223cpasupath":[251],".":[252]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":3}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}