Initial transient detection in simulations using the second-order cumulant spectrum

DOI10.1007/BF02136838zbMath0819.62077MaRDI QIDQ1805490

Douglas J. Morrice, John W. Dalle Molle

Publication date: 19 June 1995

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

zbMATH Keywords

mean; variance; nonstationary time series; initial transient detection; initialization bias; moments of cumulants; nonstationary power spectrum; second-order cumulant spectrum; simulation output data; testing stationarity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

65C99: Probabilistic methods, stochastic differential equations

Uses Software

• SAS

Cites Work

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• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Evaluation of startup policies in simulation experiments
• Evaluation of commonly used rules for detecting “steady state” in computer simulation
• Planning Queueing Simulations
• An Introduction to Polyspectra