Journal
SIMULATION MODELLING PRACTICE AND THEORY
Volume 11, Issue 3-4, Pages 237-250Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/S1569-190X(03)00048-0
Keywords
runs test; histogram; statistical analysis
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This paper discusses implementation of a sequential procedure to determine the simulation run length and construct a confidence interval for the mean of a steady-state simulation. The quasi-independent (QI) procedure increases the simulation run length progressively until a certain number of essentially independent and identically distributed systematic samples are obtained. We estimate the variance of the sample mean through an empirical distribution (histogram). Several experimental performance evaluations demonstrate the validity of the QI procedure and histogram approximation. (C) 2003 Elsevier B.V. All rights reserved.
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