Autoregressive-output-analysis methods revisited

Autoregressive-output-analysis methods revisited

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Article ID: iaor19951143
Country: Switzerland
Volume: 53
Issue: 1
Start Page Number: 391
End Page Number: 418
Publication Date: Nov 1994
Journal: Annals of Operations Research
Authors: ,
Abstract:

The authors revisit and update the autoregressive-output-analysis method for constructing a confidence interval for the steady-state mean of a simulated process by using Rissanen’s predictive least-squares criterion to estimate the autoregressive order of the process. This order estimator is strongly consistent when the output is autoregressive. The order estimator is combined with the standard autoregressive-output-analysis method to form a confidence-interval procedure. Alternatives for estimating the degrees of freedom for the procedure are investigated. The main result is an asymptotically valid confidence-interval procedure that, empirically, has good small-sample properties.

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