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Analysis of the Emergent Properties: Stationarity and Ergodicity

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This paper illustrates the use of the nonparametric Wald-Wolfowitz test to detect stationarity and ergodicity in agent-based models. A nonparametric test is needed due to the practical impossibility to understand how the random component influences the emergent properties of the model in many agent-based models. Nonparametric tests on real data often lack power and this problem is addressed by applying the Wald-Wolfowitz test to the simulated data. The performance of the tests is evaluated using Monte Carlo simulations of a stochastic process with known properties. It is shown that with appropriate settings the tests can detect non-stationarity and non-ergodicity. Knowing whether a model is ergodic and stationary is essential in order to understand its behavior and the real system it is intended to represent; quantitative analysis of the artificial data helps to acquire such knowledge.

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  • Jakob Grazzini, 2012. "Analysis of the Emergent Properties: Stationarity and Ergodicity," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 15(2), pages 1-7.
    • Handle: RePEc:jas:jasssj:2010-93-3
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