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A wavelet-based spectral procedure for steady-state simulation analysis

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  • Lada, Emily K.
  • Wilson, James R.

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  • Lada, Emily K. & Wilson, James R., 2006. "A wavelet-based spectral procedure for steady-state simulation analysis," European Journal of Operational Research, Elsevier, vol. 174(3), pages 1769-1801, November.
    • Handle: RePEc:eee:ejores:v:174:y:2006:i:3:p:1769-1801
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    References listed on IDEAS

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    1. Natalie M. Steiger & James R. Wilson, 2002. "An Improved Batch Means Procedure for Simulation Output Analysis," Management Science, INFORMS, vol. 48(12), pages 1569-1586, December.
    2. Franklin Satterthwaite, 1941. "Synthesis of variance," Psychometrika, Springer;The Psychometric Society, vol. 6(5), pages 309-316, October.
    3. Philip Heidelberger & Peter D. Welch, 1983. "Simulation Run Length Control in the Presence of an Initial Transient," Operations Research, INFORMS, vol. 31(6), pages 1109-1144, December.
    4. Chiahon Chien & David Goldsman & Benjamin Melamed, 1997. "Large-Sample Results for Batch Means," Management Science, INFORMS, vol. 43(9), pages 1288-1295, September.
    5. Averill M. Law & John S. Carson, 1979. "A Sequential Procedure for Determining the Length of a Steady-State Simulation," Operations Research, INFORMS, vol. 27(5), pages 1011-1025, October.
    6. George S. Fishman & Philip J. Kiviat, 1967. "The Analysis of Simulation-Generated Time Series," Management Science, INFORMS, vol. 13(7), pages 525-557, March.
    7. George S. Fishman, 1978. "Grouping Observations in Digital Simulation," Management Science, INFORMS, vol. 24(5), pages 510-521, January.
    8. J. P. Royston, 1982. "The W Test for Normality," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 31(2), pages 176-180, June.
    9. George S. Fishman & L. Stephen Yarberry, 1997. "An Implementation of the Batch Means Method," INFORMS Journal on Computing, INFORMS, vol. 9(3), pages 296-310, August.
    10. Hong‐Ye Gao, 1997. "Choice of thresholds for wavelet shrinkage estimate of the spectrum," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(3), pages 231-251, May.
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    Citations

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    Cited by:

    1. Ali Tafazzoli & James R. Wilson & Emily K. Lada & Natalie M. Steiger, 2011. "Performance of Skart: A Skewness- and Autoregression-Adjusted Batch Means Procedure for Simulation Analysis," INFORMS Journal on Computing, INFORMS, vol. 23(2), pages 297-314, May.
    2. Yuanhui Zhang & Haipeng Wu & Brian T. Denton & James R. Wilson & Jennifer M. Lobo, 2019. "Probabilistic sensitivity analysis on Markov models with uncertain transition probabilities: an application in evaluating treatment decisions for type 2 diabetes," Health Care Management Science, Springer, vol. 22(1), pages 34-52, March.
    3. Djibril Gueye & Kokulo Lawuobahsumo, 2023. "A Probabilistic Approach for Denoising Option Prices," International Journal of Economics and Financial Issues, Econjournals, vol. 13(2), pages 18-26, March.
    4. Yi-Ting Chen & Edward W. Sun & Min-Teh Yu, 2018. "Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 653-684, August.
    5. Liu, Xiaoquan & Cao, Yi & Ma, Chenghu & Shen, Liya, 2019. "Wavelet-based option pricing: An empirical study," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1132-1142.
    6. Chen Yi-Ting & Sun Edward W. & Yu Min-Teh, 2015. "Improving model performance with the integrated wavelet denoising method," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 445-467, September.
    7. Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, vol. 222(1), pages 104-112.
    8. Sun, Edward W. & Meinl, Thomas, 2012. "A new wavelet-based denoising algorithm for high-frequency financial data mining," European Journal of Operational Research, Elsevier, vol. 217(3), pages 589-599.
    9. 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.
    10. K Hoad & S Robinson & R Davies, 2010. "Automating warm-up length estimation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(9), pages 1389-1403, September.
    11. repec:ipg:wpaper:2014-412 is not listed on IDEAS
    12. Emily K. Lada & James R. Wilson & Natalie M. Steiger & Jeffrey A. Joines, 2007. "Performance of a Wavelet-Based Spectral Procedure for Steady-State Simulation Analysis," INFORMS Journal on Computing, INFORMS, vol. 19(2), pages 150-160, May.

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