Simulation Output Analysis Based on Excursions

We consider the steady state output analysis problem for a process that satisfies a functional central limit theorem. We construct asymptotically valid confidence intervals for the steady-state mean using normalized excursions of the simulated process. An alternative approach splits the output at the last zero crossing of the normalized path. The methods use a bounded memory of size determined by the user.

• Type: Conference
• Year: 2004
• Where: WSC
• Authors: James M. Calvin
• Keywords: Functional Central Limit Theorem, Modeling And Simulation, Normalized Excursions, Steady State Output, WSC 2004