Chapter 15 Correlation-Based Methods for Output Analysis

David Goldsman; Barry L. Nelson

doi:10.1016/S0927-0507(06)13015-7

Chapter 15 Correlation-Based Methods for Output Analysis

David Goldsman^*, Barry L. Nelson

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Contribution to journal › Review article › peer-review

7 Scopus citations

Abstract

We describe methods for estimating the variance of the sample mean of a steady-state simulation output process using correlation-based methods, all involving some form of "batching". Since no single method dominates all others across all measures of performance, we provide a framework for asymptotic comparison of such estimators. Research challenges are also identified.

Original language	English (US)
Pages (from-to)	455-475
Number of pages	21
Journal	Handbooks in Operations Research and Management Science
Volume	13
Issue number	C
DOIs	https://doi.org/10.1016/S0927-0507(06)13015-7
State	Published - 2006

ASJC Scopus subject areas

Finance
Economics and Econometrics
Computer Science Applications
Management Science and Operations Research

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Cite this

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AB - We describe methods for estimating the variance of the sample mean of a steady-state simulation output process using correlation-based methods, all involving some form of "batching". Since no single method dominates all others across all measures of performance, we provide a framework for asymptotic comparison of such estimators. Research challenges are also identified.

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DO - 10.1016/S0927-0507(06)13015-7

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JO - Handbooks in Operations Research and Management Science

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Chapter 15 Correlation-Based Methods for Output Analysis

Abstract

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