Estimating the steady-state mean from short transient simulations

DOI10.1016/J.EJOR.2002.08.001MaRDI QIDQ706919zbMATH OpenOpenAlexFDO

Authors Pieter A. Sheth-Voss, Thomas R. Willemain, Jorge Haddock

Publication date 9 February 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://www.lib.ncsu.edu/resolver/1840.4/6596

zbMATH Keywords

Time seriesMaximum likelihood estimationBatch meansSimulation output analysis

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

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• An Empirical Investigation of the Transient Behavior of Stationary Queueing Systems
• An Investigation of Finite-Sample Behavior of Confidence Interval Estimators
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• Autoregressive to anything: Time-series input processes for simulation
• Autoregressive-output-analysis methods revisited
• Confidence Interval Estimation Using Standardized Time Series
• Detecting Initialization Bias in Simulation Output
• Estimating the steady-state mean from short transient simulations
• Experiments with Initial Transient Deletion for Parallel, Replicated Steady-State Simulations
• On Finite Sample Theory for Autoregressive Model Order Selection
• On a measure of lack of fit in time series models
• Optimal Mean-Squared-Error Batch Sizes
• Some asymptotic formulas for markov chains with applications to simulation^†
• The transient behaviour of the \(M/E_ k/2\) queue and steady-state simulation
• Weighted Batch Means for Confidence Intervals in Steady-State Simulations

Cited in

(18)

• Replicated batch means for steady-state simulations
• Estimating the steady-state mean from short transient simulations
• Empirical performance of bias-reducing estimators for regenerative steady-state simulations
• scientific article; zbMATH DE number 4100584 (Why is no real title available?)
• Performance of a wavelet-based spectral procedure for steady-state simulation analysis
• Automated Estimation of Extreme Steady-State Quantiles via the Maximum Transformation
• ASAP3: a batch means procedure for steady-state simulation analysis
• Sequential detection of a steady state
• Estimating Time Averages via Randomly-Spaced Observations
• A new approach for dealing with the startup problem in discrete event simulation
• Choosing sample path length and number of sample paths when starting in steady state
• scientific article; zbMATH DE number 4050932 (Why is no real title available?)
• Analysis of initial transient deletion for replicated steady-state simulations
• Limit theorems for the method of replication
• Estimating steady-state distributions via simulation-generated histograms
• An Investigation of Finite-Sample Behavior of Confidence Interval Estimators
• Weighted Batch Means for Confidence Intervals in Steady-State Simulations
• Simulation output analysis using the threshold bootstrap

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