Stationarity tests and MSER-5: exploring the intuition behind mean-squared-error-reduction in detecting and correcting initialization bias

Authors:
William W. Franklin;K. Preston White, Jr.
Affiliations:
University of Virginia, Charlottesville, VA;University of Virginia, Charlottesville, VA
Venue:
Proceedings of the 40th Conference on Winter Simulation
Year:
2008

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Abstract

We explore the reasoning behind MSER-5, an efficient and effective truncation heuristic for reducing initialization bias in steady-state simulation. We also compare MSER-5 with the KPSS stationarity test as one means of investigating the possibility that MSER's effectiveness is the result of its utility as a stationarity measure. Conversely, this comparison also lets us explore whether or not a stationarity test from the time-series literature can be used as an effective initialization bias-control heuristic. Finally, we investigate the use of an alternative form of MSER-5 that uses a variance estimator that adjusts for serial correlation.