Some properties of simulation interval estimators under dependence induction

DOI10.1016/0167-6377(87)90015-0MaRDI QIDQ1095629zbMATH OpenOpenAlexFDO

Authors Barry L. Nelson

Publication date 1987

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

Full work available at URL https://doi.org/10.1016/0167-6377(87)90015-0

zbMATH Keywords

interval estimatorspoint estimatorssimulationvariance reduction

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Probabilistic methods, stochastic differential equations (65C99)

Review text

The most widely used variance reduction techniques change the joint distribution of the simulation output random variables upon which the point estimators are based. The purpose of the paper is to describe the basic properties of standard interval estimators under dependence induction. The results are extended to output analysis methods used in steady-state simulation. The author discusses the assumption on which the results are based and shows how the results are derived.

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Cites work

• A perspective on variance reduction in dynamic simulation experiments
• Anthithetic-variate splitting for steady-state simulations
• Asymptotic Properties of Some Confidence Interval Estimators for Simulation Output
• Batch Size Effects in the Analysis of Simulation Output
• Comparing stochastic systems using regenerative simulation with common random numbers
• Confidence Interval Estimation Using Standardized Time Series
• Generation of multivariate normal samples with given sample mean and covariance matrix
• Graphical Methods for Evaluating and Comparing Confidence-Interval Procedures
• scientific article; zbMATH DE number 3815002 (Why is no real title available?)
• scientific article; zbMATH DE number 3770836 (Why is no real title available?)
• scientific article; zbMATH DE number 3046453 (Why is no real title available?)
• Regenerative structure of Markov chains simulated via common random numbers
• Replication splitting and variance for simulating discrete-parameter stochastic processes
• Variance Reduction Techniques for Digital Simulation

Cited in

(3)

• Anthithetic-variate splitting for steady-state simulations
• Validation and statistical analysis procedures under the common random number correlation-induction strategy for multipopulation simulation experiments
• Controlling antithetic variates

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