Simulation Output Analysis Using Standardized Time Series

asymptotic behavior asymptotic end-point variability confidence intervals functional central limit theorem simulation output analysis standardized time series steady state

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(35)

Extended dynamic partial-overlapping batch means estimators for steady-state simulations
Spaced batch means
Estimating the asymptotic variance with batch means
Multiple-comparison procedures for steady-state simulations
Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
Folded overlapping variance estimators for simulation
Multiple comparisons with the best using common random numbers for steady-state simulations
Statistical inference for model parameters in stochastic gradient descent
Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
Batch means and spectral variance estimators in Markov chain Monte Carlo
Linear combinations of overlapping variance estimators for simulation
Generation and use of standardised load spectra and load-time histories
Markov chain Monte Carlo confidence intervals
New recursive estimators of the time-average variance constant
On Functional Central Limit Theorems for Semi-Markov and Related Processes
Asymptotic Properties of Some Confidence Interval Estimators for Simulation Output
Using excursion to analyze simulation output
Multivariate Standardized Time Series for Steady-State Simulation Output Analysis
Ranking and Selection Techniques with Overlapping Variance Estimators for Simulations
Data-Based Choice of Batch Size for Simulation Output Analysis
Boundary crossing probabilities for the cumulative sample mean
Estimation Methods for Delays in Non-regenerative Discrete-Event Systems
Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
On transience and recurrence in irreducible finite-state stochastic systems
Permuted Standardized Time Series for Steady-State Simulations
On the incorporation of parameter uncertainty for inventory management using simulation
Combining standardized time series area and Cramér–von Mises variance estimators
Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes
Higher-order coverage errors of batching methods via Edgeworth expansions on t-statistics
Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
An improved standardized time series Durbin-Watson variance estimator for steady-state simulation
Fixed-width multiple-comparison procedures using common random numbers for steady-state simulations
Markov chain Monte Carlo: can we trust the third significant figure?
Consistent estimation of the accuracy of importance sampling using regenerative simulation
Asymptotically valid single-stage multiple-comparison procedures

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