Autoregressive-output-analysis methods revisited

DOI10.1007/BF02136836MaRDI QIDQ1805485zbMATH OpenFDO

Authors Mingjian Yuan, Barry L. Nelson

Publication date 3 July 1995

Published in Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

strong consistencyconfidence intervaltime seriesdegrees of freedomorder estimatorasymptotically valid confidence-interval procedureautoregressive orderautoregressive-output-analysis methodpredictive least-squares criterionsteady-state mean of a simulated process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Parametric tolerance and confidence regions (62F25) Statistical tables (62Q05)

Recommendations

• Arma-Based Confidence Intervals for Simulation Output Analysis
• Estimating the steady-state mean from short transient simulations
• Analysing steady-state simulation output using vector autoregressive processes with exogenous variables
• Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean Vector
• Feature Article—Statistical Analysis of Simulation Output Data

Cites work

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• Arma-Based Confidence Intervals for Simulation Output Analysis
• Maximum likelihood identification of Gaussian autoregressive moving average models
• Multiple comparisons with the best for steady-state simulation
• On a measure of lack of fit in time series models
• Order selection for AR models by predictive least squares
• Strong consistency of the PLS criterion for order determination of autoregressive processes
• The Bias of Autoregressive Coefficient Estimators
• The Effect of Serial Correlation on the Performance of CUSUM Tests

Cited in

(7)

• Weighted Batch Means for Confidence Intervals in Steady-State Simulations
• Autoregressive approaches to import-export time series. I: Basic techniques
• Arma-Based Confidence Intervals for Simulation Output Analysis
• Analysing steady-state simulation output using vector autoregressive processes with exogenous variables
• Confidence intervals for the difference between normal means with known coefficients of variation
• Estimating the steady-state mean from short transient simulations
• Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean Vector

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