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WSC
1996

Experimental Evaluation of Confidence Interval Procedures in Sequential Steady-State Simulation

12 years 27 days ago
Experimental Evaluation of Confidence Interval Procedures in Sequential Steady-State Simulation
Sequential analysis of simulation output is generally accepted as the most efficient way for securing representativeness of samples of collected observations. In this scenario a simulation experiment is stopped when the relative precision of estimates, defined as the relative width of confidence intervals at an assumed confidence level, reaches the required level. This paper deals with the statistical correctness of the methods proposed for estimating confidence intervals for mean values in sequential steady-state stochastic simulation. We formulate basic rules that should be followed in proper experimental analysis of coverage of different steadystate interval estimators. Our main argument is that such analysis should be done sequentially. The numerical results of our preliminary coverage analysis of the method of Spectral Analysis (SA/HW) and Nonoverlapping Batch Means are presented, and compared with those obtained by traditional, non-sequential approaches.
Donald C. McNickle, Krzysztof Pawlikowski, Gregory
Added 02 Nov 2010
Updated 02 Nov 2010
Type Conference
Year 1996
Where WSC
Authors Donald C. McNickle, Krzysztof Pawlikowski, Gregory Ewing
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