Examination of simulation output using spectral methods

Steven D. Duket and A.Alan B. Pritsker

Mathematics and Computers in Simulation (MATCOM), 1978, vol. 20, issue 1, 53-60

Abstract: Spectral procedures that have been developed to estimate the variance of the sample mean of simulation output are presented and evaluated. The evaluation is performed using a single server queueing situation with exponential interarrival and service times. This process is employed because theoretical values are available for use in the evaluation. In addition, the assumptions necessary to apply spectral methods are valid for this process. The results of the evaluation indicate that spectral methods produce unreliable estimates of the variance of the sample mean. Thus, it is concluded that spectral methods will not produce reliable estimates of the variance of the sample mean for general simulation output.

Date: 1978
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:20:y:1978:i:1:p:53-60

DOI: 10.1016/0378-4754(78)90054-X

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