Abstract
We consider the batching approach to interval estimation of the mean of a stochastic process based upon simulation output. In particular, using batch means processes generated from underlying AR(1) processes and M/M/1 queueing systems, we study the effects of undetected autocorrelation on both the probability of coverage and the performance of the Shapiro-Wilk test of normality. We also conduct power comparisons of two tests used to detect first-order autocorrelation in batch means processes: the von Neumann ratio test and a rank version thereof proposed by Bartels (1982). Our results indicate that a large number of batches (perhaps at least 100) be used when testing for the presence of autocorrelation.
Original language | English (US) |
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Pages (from-to) | 206-215 |
Number of pages | 10 |
Journal | European Journal of Operational Research |
Volume | 43 |
Issue number | 2 |
DOIs | |
State | Published - Nov 27 1989 |
All Science Journal Classification (ASJC) codes
- Computer Science(all)
- Modeling and Simulation
- Management Science and Operations Research
- Information Systems and Management
Keywords
- Simulation
- batch means
- output analysis