Tests for transient means in simulated time series

David Goldsman, Lee W. Schruben and James J. Swain

Naval Research Logistics (NRL), 1994, vol. 41, issue 2, 171-187

Abstract: We present a family of tests to detect the presence of a transient mean in a simulation process. These tests compare variance estimators from different parts of a simulation run, and are based on the methods of batch means and standardized time series. Our tests can be viewed as natural generalizations of some previously published work. We also include a power analysis of the new tests, as well as some illustrative examples. © 1994 John Wiley & Sons, Inc.

Date: 1994
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https://doi.org/10.1002/1520-6750(199403)41:23.0.CO;2-N

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navres:v:41:y:1994:i:2:p:171-187

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