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USING EXCURSIONS TO ANALYZE SIMULATION OUTPUT

Published online by Cambridge University Press:  18 March 2010

James M. Calvin
James M. Calvin
Affiliation:
Department of Computer Science, New Jersey Institute of Technology, Newark, NJ 07102 E-mail: calvin@njit.edu
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Abstract

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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.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 24 , Issue 2 , April 2010 , pp. 201 - 218
Copyright
Copyright © Cambridge University Press 2010

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