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USING EXCURSIONS TO ANALYZE SIMULATION OUTPUT
Published online by Cambridge University Press: 18 March 2010
Abstract
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We consider the steady-state simulation output analysis problem for a process that satisfies a functional central limit theorem. We construct an estimator for the time-average variance constant that is based on excursions of a process above the minimum. The resulting estimator does not require a fixed run length, and the memory requirement can be dynamically bounded. Standardized time series methods based on excursions are also described.
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- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 24 , Issue 2 , April 2010 , pp. 201 - 218
- Copyright
- Copyright © Cambridge University Press 2010
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