Estimation Techniques for Nonlinear Functions of the Steady-State Mean in Computer Simulation

• Main Author: Chang, Byeong-Yun
• Format: Others
• Language: en_US
• Published: Georgia Institute of Technology 2005
• Subjects: Standardized time series; Jackknife; Delta method; Nonlinear function estimation; Nonoverapping batch mean; Simulation output analysis
• Online Access: http://hdl.handle.net/1853/4917

A simulation study consists of several steps such as data collection, coding and model verification, model validation, experimental design, output data analysis, and implementation. Our research concentrates on output data analysis. In this field, many researchers have studied how to construct confidence intervals for the mean u of a stationary stochastic process. However, the estimation of the value of a nonlinear function f(u) has not received a lot of attention in the simulation literature. Towards this goal, a batch-means-based methodology was proposed by Munoz and Glynn (1997). Their approach did not consider consistent estimators for the variance of the point estimator for f(u). This thesis, however, will consider consistent variance estimation techniques to construct confidence intervals for f(u). Specifically, we propose methods based on the combination of the delta method and nonoverlapping batch means (NBM), standardized time series (STS), or a combination of both. Our approaches are tested on moving average, autoregressive, and M/M/1 queueing processes. The results show that the resulting confidence intervals (CIs) perform often better than the CIs based on the method of Munoz and Glynn in terms of coverage, the mean of their CI half-width, and the variance of their CI half-width.