Analyzing simulation experiments with common random numbers
AbstractTo analyze simulation runs which use the same random numbers, the blocking concept of experimental design is not needed. Instead, this paper applies a linear regression model with a nondiagonal covariance matrix. This covariance matrix does not need to have a specific pattern such as constant covariances. A simple example yields surprising results. The paper proposes a new framework for the error analysis. This framework consists of three factors (namely, common random numbers, replication, model validity), each with three levels.
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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-369816.
Date of creation: 1988
Date of revision:
Publication status: Published in Management Science (1988) v.34, p.65-74
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Other versions of this item:
- Jack P. C. Kleijnen, 1988. "Analyzing Simulation Experiments with Common Random Numbers," Management Science, INFORMS, vol. 34(1), pages 65-74, January.
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