Using excursion to analyze simulation output

DOI10.1017/S0269964809990234MaRDI QIDQ3564636zbMATH OpenFDO

Authors James M. Calvin

Publication date 26 May 2010

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0269964809990234

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A relation between Brownian bridge and Brownian excursion
• Average performance of passive algorithms for global optimization
• Confidence Interval Estimation Using Standardized Time Series
• Excursions in Brownian motion
• scientific article; zbMATH DE number 635670 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Large-Sample Results for Batch Means
• On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation
• Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms
• Simulation Output Analysis Using Standardized Time Series

Cited in

(4)

• scientific article; zbMATH DE number 33261 (Why is no real title available?)
• Poisson approximation for excursions of adaptive algorithms with a lattice state space
• Simulation output analysis using integrated paths
• Detecting shifts in the mean of a simulation output process

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