An Analytical Evaluation of Alternative Strategies in Steady-State Simulation

DOI10.1287/opre.32.1.169zbMath0532.65100OpenAlexW2113896328MaRDI QIDQ3314943

Averill M. Law, W. David Kelton

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1287/opre.32.1.169

zbMATH Keywords

confidence intervalsteady-state simulationfirst-order autoregressive modelpoint estimatordiscrete-time stochastic process

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Inference from stochastic processes (62M99) Probabilistic methods, stochastic differential equations (65C99)

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Replication splitting and variance for simulating discrete-parameter stochastic processes ⋮ Anthithetic-variate splitting for steady-state simulations ⋮ Bias and variance reduction in computer simulation studies ⋮ Automated and distributed statistical analysis of economic agent-based models

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