Run-length variability of two-stage multiple comparisons with the best for steady-state simulations and its implications for choosing first-stage run lengths

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We analyze the asymptotic behavior of two-stage procedures for multiple comparisons with the best (MCB) for comparing the steady-state means of alternative systems using simulation. The two procedures we consider differ in how they estimate the variance parameters of the alternatives in the first stage. One procedure uses a consistent estimator, and the other employs an estimator based on one of Schruben's standardized time series (STS) methods. While both methods lead to mean total run lengths that are of the same asymptotic order of magnitude, the limiting variability of the run lengths is strictly smaller for the method based on a consistent variance estimator. We also provide some analysis showing how to choose the first-stage run length.

Original languageEnglish (US)
Title of host publicationProceedings of the 2008 Winter Simulation Conference, WSC 2008
Pages252-259
Number of pages8
DOIs
StatePublished - Dec 1 2008
Event2008 Winter Simulation Conference, WSC 2008 - Miami, FL, United States
Duration: Dec 7 2008Dec 10 2008

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Other

Other2008 Winter Simulation Conference, WSC 2008
CountryUnited States
CityMiami, FL
Period12/7/0812/10/08

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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