Using excursions to analyze simulation output

Authors:
James m. Calvin
Affiliations:
Department of computer science, new jersey institute of technology, newark, nj 07102 e-mail: calvin@njit.edu
Venue:
Probability in the Engineering and Informational Sciences
Year:
2010

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Abstract

We consider the steady-state simulation output analysis problem for a process that satisfies a functional central limit theorem. We construct an estimator for the time-average variance constant that is based on excursions of a process above the minimum. The resulting estimator does not require a fixed run length, and the memory requirement can be dynamically bounded. Standardized time series methods based on excursions are also described.