Using excursions to analyze simulation output

Document Type

Article

Publication Date

1-1-2010

Abstract

We consider the steady-state simulation output analysis problem for a process that satisfies a functional central limit theorem. We construct an estimator for the time-average variance constant that is based on excursions of a process above the minimum. The resulting estimator does not require a fixed run length, and the memory requirement can be dynamically bounded. Standardized time series methods based on excursions are also described. Copyright © Cambridge University Press 2010.

Identifier

77953582958 (Scopus)

Publication Title

Probability in the Engineering and Informational Sciences

External Full Text Location

https://doi.org/10.1017/S0269964809990234

e-ISSN

14698951

ISSN

02699648

First Page

201

Last Page

218

Issue

2

Volume

24

Grant

CMMI-0825381

Fund Ref

National Science Foundation

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