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Examination of simulation output using spectral methods

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  • Duket, Steven D.
  • Pritsker, A.Alan B.

Abstract

Spectral procedures that have been developed to estimate the variance of the sample mean of simulation output are presented and evaluated. The evaluation is performed using a single server queueing situation with exponential interarrival and service times. This process is employed because theoretical values are available for use in the evaluation. In addition, the assumptions necessary to apply spectral methods are valid for this process. The results of the evaluation indicate that spectral methods produce unreliable estimates of the variance of the sample mean. Thus, it is concluded that spectral methods will not produce reliable estimates of the variance of the sample mean for general simulation output.

Suggested Citation

  • Duket, Steven D. & Pritsker, A.Alan B., 1978. "Examination of simulation output using spectral methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 20(1), pages 53-60.
    • Handle: RePEc:eee:matcom:v:20:y:1978:i:1:p:53-60
    DOI: 10.1016/0378-4754(78)90054-X
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    References listed on IDEAS

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    1. Philip M. Morse, 1955. "Stochastic Properties of Waiting Lines," Operations Research, INFORMS, vol. 3(3), pages 255-261, August.
    2. R. W. Conway, 1963. "Some Tactical Problems in Digital Simulation," Management Science, INFORMS, vol. 10(1), pages 47-61, October.
    3. Naylor, Thomas H & Wertz, Kenneth & Wonnacott, Thomas H, 1969. "Spectral Analysis of Data Generated by Simulation Experiments with Econometric Models," Econometrica, Econometric Society, vol. 37(2), pages 333-352, April.
    4. George S. Fishman & Philip J. Kiviat, 1967. "The Analysis of Simulation-Generated Time Series," Management Science, INFORMS, vol. 13(7), pages 525-557, March.
    5. Thomas H. Naylor & Thomas H. Wonnacott, 1970. "A Comment on the Analysis of Data Generated by Simulation Experiments," Management Science, INFORMS, vol. 17(3), pages 233-235, November.
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    1. Halim Damerdji & David Goldsman, 1995. "Consistency of several variants of the standardized time series area variance estimator," Naval Research Logistics (NRL), John Wiley & Sons, vol. 42(8), pages 1161-1176, December.
    2. George, Halkos & Ilias, Kevork, 2004. "H Ασυμπτωτική Διακύμανση Στην Εκτίμηση Του Στάσιμου Μέσου Υπό Συνθήκες Αυτοσυσχέτισης [Using the asymptotic variance to estimate the stationary mean under autocorrelation]," MPRA Paper 33324, University Library of Munich, Germany.
    3. Halkos, George & Kevork, Ilias, 2002. "Confidence intervals in stationary autocorrelated time series," MPRA Paper 31840, University Library of Munich, Germany.
    4. Halkos, George & Kevork, Ilias, 2006. "Estimating population means in covariance stationary process," MPRA Paper 31843, University Library of Munich, Germany.

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