Simulation output analysis based on excursions

Document Type

Conference Proceeding

Publication Date

12-1-2004

Abstract

We consider the steady state output analysis problem for a process that satisfies a functional central limit theorem. We construct asymptotically valid confidence intervals for the steady-state mean using normalized excursions of the simulated process. An alternative approach splits the output at the last zero crossing of the normalized path. The methods use a bounded memory of size determined by the user.

Identifier

17744373713 (Scopus)

Publication Title

Proceedings Winter Simulation Conference

ISSN

08917736

First Page

681

Last Page

684

Volume

1

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