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: | Martens J, Peeters R, Put F |
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.