Arma-Based Confidence Intervals for Simulation Output Analysis

DOI10.1080/01966324.1984.10737150MaRDI QIDQ3678526zbMATH OpenOpenAlexWikidataFDO

Authors Thomas J. Schriber, Richard W. Andrews

Publication date 1984

Published in American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01966324.1984.10737150

zbMATH Keywords

ARMA modelsautoregressive moving averageconfidence interval proceduremean of a stationary stochastic processqueueing system modelsimulation output sequences

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Queues and service in operations research (90B22)

Recommendations

• Autoregressive-output-analysis methods revisited
• Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean Vector
• Feature Article—Statistical Analysis of Simulation Output Data
• Calculation of confidence intervals for simulation output
• Weighted Batch Means for Confidence Intervals in Steady-State Simulations

Cites work

• A Coverage Function for Interval Estimators of Simulation Response
• A Time Series Approach to Queueing Systems with Applications for Modeling Job-Shop In-Process Inventories
• Batch Size Effects in the Analysis of Simulation Output
• Confidence Interval Estimation Using Standardized Time Series
• Confidence intervals in discrete event simulation: A comparison of replication and batch means
• Estimating Sample Size in Computing Simulation Experiments
• Feature Article—Statistical Analysis of Simulation Output Data
• scientific article; zbMATH DE number 3940526 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• On a measure of lack of fit in time series models

Cited in

(8)

• On the estimation of optimal batch sizes in the analysis of simulation output
• Autoregressive-output-analysis methods revisited
• Initial data truncation for multivariate output of discrete-event simulation using the Kalman filter
• Batch size effects on the efficiency of control variates in simulation
• New confidence intervals for the AR(1) parameter
• Weighted Batch Means for Confidence Intervals in Steady-State Simulations
• scientific article; zbMATH DE number 540429 (Why is no real title available?)
• Estimating the steady-state mean from short transient simulations

Describes a project that uses

Uses Software

• IMSL Numerical Libraries

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