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: | Nelson Barry L., Yuan Mingjian |
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.