Detecting Initialization Bias in Simulation Output

Lee W. Schruben
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Lee W. Schruben: Cornell University, Ithaca, New York

Operations Research, 1982, vol. 30, issue 3, 569-590

Abstract: A general approach to testing for initialization bias in the mean of a simulation output series is presented. The output is transformed into a standardized test sequence that can be contrasted with a known limiting stochastic process. This transformation requires very little computation and the asymptotic theory is applicable to a wide variety of simulations. An initialization bias test is developed and several examples of its application are presented.

Keywords: 563 application of diffusion processes; 767 simulation initialization bias tests (search for similar items in EconPapers)
Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:30:y:1982:i:3:p:569-590

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