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Tests for transient means in simulated time series
Author(s) -
Goldsman David,
Schruben Lee W.,
Swain James J.
Publication year - 1994
Publication title -
naval research logistics (nrl)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.665
H-Index - 68
eISSN - 1520-6750
pISSN - 0894-069X
DOI - 10.1002/1520-6750(199403)41:2<171::aid-nav3220410204>3.0.co;2-n
Subject(s) - estimator , series (stratigraphy) , transient (computer programming) , variance (accounting) , computer science , time series , statistics , mathematics , econometrics , paleontology , accounting , business , biology , operating system
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.