Using excursions to analyze simulation output

James M. Calvin

doi:10.1017/S0269964809990234

Using excursions to analyze simulation output

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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 language	English (US)
Pages (from-to)	201-218
Number of pages	18
Journal	Probability in the Engineering and Informational Sciences
Volume	24
Issue number	2
DOIs	https://doi.org/10.1017/S0269964809990234
State	Published - Apr 2010
Externally published	Yes

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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10.1017/S0269964809990234

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AB - 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.

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JO - Probability in the Engineering and Informational Sciences

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Using excursions to analyze simulation output

Abstract

All Science Journal Classification (ASJC) codes

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