Analysis of the Emergent Properties: Stationarity and Ergodicity

Jakob Grazzini

Journal of Artificial Societies and Social Simulation, 2012, vol. 15, issue 2, 7

Abstract: This paper illustrates the use of the nonparametric Wald-Wolfowitz test to detect stationarity and ergodicity in agent-based models. A nonparametric test is needed due to the practical impossibility to understand how the random component influences the emergent properties of the model in many agent-based models. Nonparametric tests on real data often lack power and this problem is addressed by applying the Wald-Wolfowitz test to the simulated data. The performance of the tests is evaluated using Monte Carlo simulations of a stochastic process with known properties. It is shown that with appropriate settings the tests can detect non-stationarity and non-ergodicity. Knowing whether a model is ergodic and stationary is essential in order to understand its behavior and the real system it is intended to represent; quantitative analysis of the artificial data helps to acquire such knowledge.

Keywords: Statistical Test; Stationarity; Ergodicity; Agent-Based; Simulations (search for similar items in EconPapers)
Date: 2012-03-31
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Citations: View citations in EconPapers (51)

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Persistent link: https://EconPapers.repec.org/RePEc:jas:jasssj:2010-93-3

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