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2000

Experimental performance evaluation of batch means procedures for simulation output analysis

12 years 2 months ago
Experimental performance evaluation of batch means procedures for simulation output analysis
We summarize the results of an extensive experimental performance evaluation of selected batch means procedures for building a confidence interval for a steady-state expected simulation response. We compare the performance of the well-known ABATCH and LBATCH procedures versus ASAP, a recently proposed variant of the method of nonoverlapping batch means (NOBM) that operates as follows: the batch size is progressively increased until either (a) the batch means pass the von Neumann test for independence, and then ASAP delivers a classical NOBM confidence interval; or (b) the batch means pass the Shapiro-Wilk test for multivariate normality, and then ASAP delivers a correlation-adjusted confidence interval. The latter correction is based on an inverted Cornish-Fisher expansion for the classical NOBM t-ratio, where the terms of the expansion are estimated via an autoregressive
Natalie M. Steiger, James R. Wilson
Added 01 Nov 2010
Updated 01 Nov 2010
Type Conference
Year 2000
Where WSC
Authors Natalie M. Steiger, James R. Wilson
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