Using excursions to analyze simulation output

Research output: Contribution to journalArticlepeer-review

Abstract

We consider the steady-state simulation output analysis problem for a process that satisfies a functional central limit theorem. We construct an estimator for the time-average variance constant that is based on excursions of a process above the minimum. The resulting estimator does not require a fixed run length, and the memory requirement can be dynamically bounded. Standardized time series methods based on excursions are also described.

Original languageEnglish (US)
Pages (from-to)201-218
Number of pages18
JournalProbability in the Engineering and Informational Sciences
Volume24
Issue number2
DOIs
StatePublished - Apr 2010

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering

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