Multiple comparison procedures
Multiple comparison procedures
Strong consistency and other properties of the spectral variance estimator
Management Science
Notes: conditions for the applicability of the regenerative method
Management Science
Strong consistency of the variance estimator in steady-state simulation output analysis
Mathematics of Operations Research
Selecting the best system in transient simulations with variances known
WSC '96 Proceedings of the 28th conference on Winter simulation
Two-stage multiple-comparison procedures for steady-state simulations
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Principles of Discrete Event Simulation
Principles of Discrete Event Simulation
A large deviations perspective on ordinal optimization
WSC '04 Proceedings of the 36th conference on Winter simulation
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We consider two-stage procedures for selection and multiple comparisons, where the variance parameter is estimated consistently. We examine conditions under which the procedures are asymptotically valid in a general framework. Our proofs of asymptotic validity require that the estimators at the end of the second stage are asymptotically normal, so we require a random-time-change central limit theorem. We explain how the assumptions hold for comparing means in transient simulations, steady-state simulations and quantile estimation, but the assumptions are also valid for many other problems arising in simulation studies.