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DOI10.1145/974734.974738MaRDI QIDQ4564842zbMATH OpenOpenAlexFDO

Authors Christos Alexopoulos, David Goldsman

Publication date 12 June 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/974734.974738

zbMATH Keywords

variance estimationconfidence intervalstransient analysisstochastic simulationbatch meanssteady-state analysisindependent replications

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stationary stochastic processes (60G10)

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Cited in

(19)

• Automated and distributed statistical analysis of economic agent-based models
• Batch size effects on the efficiency of control variates in simulation
• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Replicated batch means for steady-state simulations
• Estimating the steady-state mean from short transient simulations
• Recursive estimation of time-average variance constants through prewhitening
• Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference
• On the robustness of batching estimators.
• New recursive estimators of the time-average variance constant
• Recursive estimation of time-average variance constants
• scientific article; zbMATH DE number 4100584 (Why is no real title available?)
• Fifty years of stochastic simulation: where we are and where we need to go
• Limit theorems for the method of replication
• Batching Adaptive Variance Reduction
• Performance evaluation of output analysis methods in steady-state simulations
• A non-asymptotic error analysis for parallel Monte Carlo estimation from many short Markov chains
• Replicated batch means variance estimators in the presence of an initial transient
• Performance of sequential batching-based methods of output data analysis in distributed steady-state stochastic simulation.
• Replication splitting and variance for simulating discrete-parameter stochastic processes

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