zbMATH — the first resource for mathematics

Simulation run length control in the presence of an initial transient. (English) Zbl 0532.65097
The estimation of the steady-state mean of an output sequence from single run simulations for covariance stationary processes is considered. The feasibility of the full automation of initial transient removal, confidence interval generation and run length control is investigated. For this purpose a procedure based on a Brownian bridge model is used for tests for stationarity. This procedure is combined with a run-length control procedure earlier published by the authors. Both procedures require an estimate of the spectral density of the process at zero frequency. The effectiveness of this procedure is tested on three different processes and a variety of initial transients. Extensive numerical results are given.
Reviewer: R.Tracht

65C99 Probabilistic methods, stochastic differential equations
65C20 Probabilistic models, generic numerical methods in probability and statistics
62F25 Parametric tolerance and confidence regions
PDF BibTeX Cite
Full Text: DOI