Article ID: | iaor1990756 |
Country: | United States |
Volume: | 15 |
Issue: | 1 |
Start Page Number: | 1 |
End Page Number: | 7 |
Publication Date: | Feb 1990 |
Journal: | Mathematics of Operations Research |
Authors: | Glynn Peter W., Iglehart D.L. |
The method of standardized time series (STS) was proposed by Schruben as an approach for constructing asymptotic confidence intervals for the steady-state mean from a single simulation run. The STS method ‘cancels out’ the variance constant while other methods attempt to consistently estimate the variance constant. The authors’ goal in this paper is to generalize the STS method and to study some of its basic properties. Starting from a functional central limit theorem (FCLT) for the sample mean of the simulated process, a class of mappings of