Coverage error for confidence intervals arising in simulation output analysis

  • Authors:
  • Peter W. Glynn

  • Affiliations:
  • Stanford University

  • Venue:
  • WSC '82 Proceedings of the 14th conference on Winter Simulation - Volume 2
  • Year:
  • 1982

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Abstract

Coverage error asymptotics for confidence intervals arising in simulation are discussed. Asymptotic expansions, to order O(n-1) (n is the sample size), are given for confidence intervals associated with sequences of independent and identically distributed random variables, as well as regenerative processes. Implications for simulation are emphasized.