Detecting shifts in the mean of a simulation output process

S Robinson (), R J Brooks and C D Lewis
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S Robinson: Warwick Business School, University of Warwick
R J Brooks: Lancaster University
C D Lewis: Aston Business School, Aston University

Journal of the Operational Research Society, 2002, vol. 53, issue 5, 559-573

Abstract: Abstract The application of the correct simulation output analysis technique requires a knowledge of the model's behaviour. Traditionally, only two types of model behaviour are discussed for discrete event simulations: transient and steady state. In this paper, a third type of behaviour, denoted shifting steady state, is considered in which the model passes through successive periods of different steady states. A heuristic technique for identifying the shifts in the mean of a time series is applied to the output data from simulation models with known shifting steady-state behaviour in order to test its effectiveness in detecting the shifts. The heuristic performs well, indicating that it may be a valuable additional technique for output analysis.

Keywords: discrete event simulation; steady state; shift of mean; Manhattan diagram; output analysis (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1057/palgrave.jors.2601323

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