Article ID: | iaor20032558 |
Country: | United States |
Volume: | 48 |
Issue: | 12 |
Start Page Number: | 1569 |
End Page Number: | 1586 |
Publication Date: | Dec 2002 |
Journal: | Management Science |
Authors: | Wilson James R., Steiger Natalie M. |
We formulate and evaluate the Automated Simulation Analysis Procedure (ASAP), an algorithm for steady-state simulation output analysis based on the method of nonoverlapping batch means (NOBM). ASAP delivers a confidence interval for an expected response that is centered on the sample mean of a portion of a simulation-generated time series and satisfies a user-specified absolute or relative precision requirement. ASAP operates as follows: The batch size is progressively increased until either (a) the batch means pass the von Neumann test for independence, and then ASAP delivers a classical NOBM confidence interval; or (b) the batch means pass the Shapiro–Wilk test for multivariate normality, and then ASAP delivers a correlation-adjusted confidence interval. The latter adjustment is based on an inverted Cornish–Fisher expansion for the classical NOBM