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Optimal tests for initialization bias in simulation output. (English) Zbl 0538.62075
Summary: We present a family of tests for detecting initialization bias in the mean of a simulation output series using a hypothesis testing framework. The null hypothesis is that the output mean does not change throughout the simulation run. The alternative hypothesis specifies a general transient mean function. The tests are asymptotically optimal based on cumulative sums of deviations about the sample mean. A particular test in this family is applied to a variety of simulation models. The test requires very modest computation and appears to be both robust and powerful.

MSC:
62M07 Non-Markovian processes: hypothesis testing
65C99 Probabilistic methods, stochastic differential equations
62P99 Applications of statistics
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