Asymptotic Properties of Some Confidence Interval Estimators for Simulation Output
AbstractThe classical confidence interval estimator commonly used in simulation is compared with four new estimators based on standardization of a time series presented in a previous paper. These new interval estimators are shown to have asymptotic properties that strictly dominate the classical estimator when used with data from independent simulation replications or means of batched observations from a single simulation run. Two of the new estimators also can be used with a single unbatched replication of a simulation program, a situation where the classical estimator is not defined.
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Bibliographic InfoArticle provided by INFORMS in its journal Management Science.
Volume (Year): 30 (1984)
Issue (Month): 10 (October)
simulation; statistical analysis; time series;
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- Kevork, Ilias S., 2010. "Estimating the optimal order quantity and the maximum expected profit for single-period inventory decisions," Omega, Elsevier, vol. 38(3-4), pages 218-227, June.
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