MARC record from Internet Archive

LEADER: 02427nam 2200325 a 45 0
001 a191436
008 971028s1991 caua b f000|0 eng d
040 $aCMontNP$cCMontNP
086 0 $aD 208.14/2:NPS-AS-91-009
100 1 $aSargent, Robert G.
245 13 $aAn investigation of finite sample behavior of confidence interval estimation procedures in computer simulation /$cRobert G. Sargent, Keebom Kang, David Goldsman.
260 $aMonterey, Calif. :$bNaval Postgraduate School ;$aSpringfield, Va. :$bAvailable from National Technical Information Service,$c[1991]
300 $a24, [6] p. :$bill. ;$c28 cm.
500 $aCover title.
500 $a"NPS-AS-91-009."
500 $a"April 1991."
500 $aAD A238 744.
504 $aIncludes bibliographical references (p. 17-19).
520 $aInvestigated are the small sample behavior and convergence properties of confidence interval estimators (CIE's) for the mean of a stationary discrete process. We consider CIE's arising from nonoverlapping batch means, overlapping batch means, and standardized time series, all of which are commonly used in discrete-event simulation. For a specific CIE, the performance measures of interest include the coverage probability, and the expected value and variance of the half-length. We use both empirical and analytical methods to make detailed comparisons regarding the behavior of the CIE's for a variety of stochastic processes. All of the CIE's under study are asymptotically valid; however, they are usually invalid for small sample sizes. We find that for small samples, the bias of the variance parameter estimator figures significantly in CIE coverage performance-the less bias the better. A Secondary role is played by the Marginal distribution of the stationary process. Not all CIE's are equal - some require fewer observations before manifesting the properties for CIE validity.
592 $aaq/ /aq cc:9116 10/28/97
650 4 $aEstimates.
650 4 $aConfidence limits.
650 4 $aTime series analysis.
650 4 $aStatistical analysis.
700 1 $aKang, Keebom.
700 1 $aGoldsman, David.
710 2 $aNaval Postgraduate School (U.S.).$bDept. of Administrative Sciences.
740 01 $aNPS-AS-91-009.
926 $aNPS-LIB$bDIGIPROJ$cD 208.14/2:NPS-AS-91-009$dBOOK$eNEVER$f1
926 $aNPS-LIB$bFEDDOCS$cD 208.14/2:NPS-AS-91-009$dBOOK$f2