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Tests for transient means in simulated time series

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  • David Goldsman
  • Lee W. Schruben
  • James J. Swain

Abstract

We present a family of tests to detect the presence of a transient mean in a simulation process. These tests compare variance estimators from different parts of a simulation run, and are based on the methods of batch means and standardized time series. Our tests can be viewed as natural generalizations of some previously published work. We also include a power analysis of the new tests, as well as some illustrative examples. © 1994 John Wiley & Sons, Inc.

Suggested Citation

  • David Goldsman & Lee W. Schruben & James J. Swain, 1994. "Tests for transient means in simulated time series," Naval Research Logistics (NRL), John Wiley & Sons, vol. 41(2), pages 171-187, March.
    • Handle: RePEc:wly:navres:v:41:y:1994:i:2:p:171-187
    DOI: 10.1002/1520-6750(199403)41:23.0.CO;2-N
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    References listed on IDEAS

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    1. Peter W. Glynn & Donald L. Iglehart, 1990. "Simulation Output Analysis Using Standardized Time Series," Mathematics of Operations Research, INFORMS, vol. 15(1), pages 1-16, February.
    2. Lee W. Schruben, 1982. "Detecting Initialization Bias in Simulation Output," Operations Research, INFORMS, vol. 30(3), pages 569-590, June.
    3. L. Schruben & H. Singh & L. Tierney, 1983. "Optimal Tests for Initialization Bias in Simulation Output," Operations Research, INFORMS, vol. 31(6), pages 1167-1178, December.
    4. David Goldsman & Lee Schruben, 1990. "Note---New Confidence Interval Estimators Using Standardized Time Series," Management Science, INFORMS, vol. 36(3), pages 393-397, March.
    5. Lee Schruben, 1983. "Confidence Interval Estimation Using Standardized Time Series," Operations Research, INFORMS, vol. 31(6), pages 1090-1108, December.
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    Cited by:

    1. 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.

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