BROWNIAN BRIDGE HYPOTHESIS TESTING FOR THE INITIAL TRANSIENT PROBLEM

被引：0

作者：

Glynn, Peter W. ^{[1
]}

Lim, Eunji ^{[2
]}

机构：

[1] Stanford Univ, Dept Management Sci & Engn, Stanford, CA 94305 USA

[2] Univ Miami, Dept Ind Engn, Coral Gables, FL 33124 USA

来源：

PROCEEDINGS OF THE 2011 WINTER SIMULATION CONFERENCE (WSC) | 2011年

关键词：

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper models the detection of the initial transient in a steady-state simulation problem as a change point hypothesis testing problem. We introduce two new hypothesis tests for the initial transient, each of which is based on the Brownian bridge process and each of which is a composite test that involves testing against infinitely many alternatives (that depend on the duration of the transient period). One of our two procedures is closely related to the class of tests proposed by Schruben, Singh, and Tierney (1983).

引用

页码：481 / 487

页数：7

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