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Switching regression metamodels in stochastic simulation

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  • Reis dos Santos, M. Isabel
  • Reis dos Santos, Pedro M.

Abstract

Simulation models are frequently analyzed through a linear regression model that relates the input/output data behavior. However, in several situations, it happens that different data subsets may resemble different models. The purpose of this paper is to present a procedure for constructing switching regression metamodels in stochastic simulation, and to exemplify the practical use of statistical techniques of switching regression in the analysis of simulation results. The metamodel estimation is made using a mixture weighted least squares and the maximum likelihood method. The consistency and the asymptotic normality of the maximum likelihood estimator are establish. The proposed methods are applied in the construction of a switching regression metamodel. This paper gives special emphasis on the usefulness of constructing switching metamodels in simulation analysis.

Suggested Citation

  • Reis dos Santos, M. Isabel & Reis dos Santos, Pedro M., 2016. "Switching regression metamodels in stochastic simulation," European Journal of Operational Research, Elsevier, vol. 251(1), pages 142-147.
    • Handle: RePEc:eee:ejores:v:251:y:2016:i:1:p:142-147
    DOI: 10.1016/j.ejor.2015.11.033
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    References listed on IDEAS

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