Experimental performance evaluation of batch means procedures for simulation output analysis

We summarize the results of an extensive experimental performance evaluation of selected batch means procedures for building a confidence interval for a steady-state expected simulation response. We compare the performance of the well-known ABATCH and LBATCH procedures versus ASAP, a recently proposed variant of the method of nonoverlapping batch means (NOBM) that operates as follows: the batch size is progressively increased until either (a) the batch means pass the von Neumann test for independence, and then ASAP delivers a classical NOBM confidence interval; or (b) the batch means pass the Shapiro-Wilk test for multivariate normality, and then ASAP delivers a correlation-adjusted confidence interval. The latter correction is based on an inverted Cornish-Fisher expansion for the classical NOBM t-ratio, where the terms of the expansion are estimated via an autoregressive

• Type: Conference
• Year: 2000
• Where: WSC
• Authors: Natalie M. Steiger, James R. Wilson
• Keywords: Batch Means Procedures, Confidence Intervals, Modeling And Simulation, NOBM Confidence Interval, WSC 2000