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Analysis of Simulation-Generated Responses using Autoregressive Models

Author

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  • D. A. Hsu

    (Princeton University)

  • J. S. Hunter

    (Princeton University)

Abstract

Insights concerning a system are often provided by comparisons of historical versus simulated data. Such insights offer valuable assistance in the evolution of the simulation modeling process. In this article, a testing procedure is suggested for comparing historical time series records against responses generated by a simulation model. Time series models are identified and their parameters estimated for both the historical and simulated data using the techniques outlined by Box and Jenkins. The models are then tested for differences in their means, autoregressive parameters, and residual variances employing Bayesian arguments. The procedure suggested is emphasized as a diagnostic instrument useful for validation, and for suggesting iterative modifications of a simulation model. Applications of the procedure are illustrated by an example involving air traffic control communications.

Suggested Citation

  • D. A. Hsu & J. S. Hunter, 1977. "Analysis of Simulation-Generated Responses using Autoregressive Models," Management Science, INFORMS, vol. 24(2), pages 181-190, October.
    • Handle: RePEc:inm:ormnsc:v:24:y:1977:i:2:p:181-190
    DOI: 10.1287/mnsc.24.2.181
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    Cited by:

    1. Neghabat, M. & Ringuest, J.L. & Gulledge, T.R., 1987. "A model of the controller responses of the human temperature regulating system to changes in water temperature," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 29(5), pages 385-397.
    2. J Martens & R Peeters & F Put, 2009. "Analysing steady-state simulation output using vector autoregressive processes with exogenous variables," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(5), pages 696-705, May.

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