Lag windows are commonly used in time series, econometrics, steady-state simulation, and Markov chain Monte Carlo to estimate time-average covariance matrices. In the presence of positive correlation of the underlying process, estimators of this matrix almost always exhibit significant negative bias, leading to undesirable finite-sample properties. We propose a new family of lag windows specifically designed to improve finite-sample performance by offsetting this negative bias. Any existing lag window can be adapted into a lugsail equivalent with no additional assumptions. We use these lag windows within spectral variance estimators and demonstrate its advantages in a linear regression model with autocorrelated and heteroskedastic residuals. We further employ the lugsail lag windows in weighted batch means estimators due to their computational efficiency on large simulation output. We obtain bias and variance results for these multivariate estimators and significantly weaken the mixing condition on the process. Superior finite-sample properties are illustrated in a vector autoregressive process and a Bayesian logistic regression model.
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