Analysing steady-state simulation output using vector autoregressive processes with exogenous variables

DOI10.1057/PALGRAVE.JORS.2602595MaRDI QIDQ3184444zbMATH OpenOpenAlexFDO

Authors

Publication date 15 October 2009

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/palgrave.jors.2602595

zbMATH Keywords

multivariate time-series analysisoutput analysissimulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Production theory, theory of the firm (91B38)

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Cited in

(7)

• State realization with exogenous variables -- a test on blast furnace data
• Autoregressive-output-analysis methods revisited
• Using excursion to analyze simulation output
• Multivariate Standardized Time Series for Steady-State Simulation Output Analysis
• Multivariate Simulation Output Analysis
• Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean Vector
• Detecting shifts in the mean of a simulation output process

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