TESTS FOR TRANSIENT MEANS IN SIMULATED TIME-SERIES

Authors
GOLDSMAN D SCHRUBEN LW SWAIN JJ
Citation
D. Goldsman et al., TESTS FOR TRANSIENT MEANS IN SIMULATED TIME-SERIES, Naval research logistics, 41(2), 1994, pp. 171-187
Citations number
24
Categorie Soggetti
Operatione Research & Management Science","Operatione Research & Management Science","Engineering, Marine
Journal title
Naval research logistics → ACNP
ISSN journal
0894069X
Volume
41
Issue
2
Year of publication
1994
Pages
171 - 187
Database
ISI
SICI code
0894-069X(1994)41:2<171:TFTMIS>2.0.ZU;2-3
Abstract
We present a family of tests to detect the presence of a transient mea n in a simulation process. These tests compare variance estimators fro m different parts of a simulation run, and are based on the methods of batch means and standardized time series. Our tests can be viewed as natural generalizations of some previously published work. We also inc lude a power analysis of the new tests, as well as some illustrative e xamples. (C) 1994 John Wiley & Sons, Inc.