Optimal Tests for Initialization Bias in Simulation Output

L. Schruben, H. Singh and L. Tierney
Additional contact information
L. Schruben: Cornell University, Ithaca, New York
H. Singh: Cornell University, Ithaca, New York
L. Tierney: Carnegie-Mellon University, Pittsburgh, Pennsylvania

Operations Research, 1983, vol. 31, issue 6, 1167-1178

Abstract: 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.

Keywords: 767; statistical; analysis (search for similar items in EconPapers)
Date: 1983
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:31:y:1983:i:6:p:1167-1178

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