Analysing steady-state simulation output using vector autoregressive processes with exogenous variables

Analysing steady-state simulation output using vector autoregressive processes with exogenous variables

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Article ID: iaor200969221
Country: United Kingdom
Volume: 60
Issue: 5
Start Page Number: 696
End Page Number: 705
Publication Date: May 2009
Journal: Journal of the Operational Research Society
Authors: , ,
Abstract:

A simulation study often requires computation of a point estimate and confidence region for the steady-state mean of a stochastic output process. The literature offers a variety of statistical techniques, including replication/deletion, the batch-means method, and spectrum analysis. We present a new multivariate output-analysis technique that is based on the general autoregressive time-series model with exogenous variables to set up a joint confidence region for the steady-state mean. We demonstrate our technique by an extensive computational experiment, and show that it performs at least as well as other output-analysis techniques, without having some of their drawbacks.

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