Asymptotic Validity of Batch Means Steady-State Confidence Intervals

2009 ◽  
pp. 87-104
Author(s):  
Peter W. Glynn ◽  
Eunji Lim
Keyword(s):  
Steady State ◽  
Confidence Intervals ◽  
Batch Means ◽  
Asymptotic Validity

Weighted Batch Means for Confidence Intervals in Steady-State Simulations

1993 ◽  
Vol 39 (8) ◽  
pp. 1002-1019 ◽  
Author(s):  
Diane P. Bischak ◽  
W. David Kelton ◽  
Stephen M. Pollock
Keyword(s):  
Steady State ◽  
Confidence Intervals ◽  
Batch Means

scholarly journals Replicated batch means for steady-state simulations with initial transients

2007 ◽  
Author(s):  
Christos Alexopoulos ◽  
Sigrun Andradottir ◽  
Nilay Tanik Argon ◽  
David Goldsman
Keyword(s):  
Steady State ◽  
Batch Means

Replicated batch means for steady-state simulations

2006 ◽  
Vol 53 (6) ◽  
pp. 508-524 ◽  
Author(s):  
Nilay Tanık Argon ◽  
Sigrún Andradóttir
Keyword(s):  
Steady State ◽  
Batch Means

SBatch: A spaced batch means procedure for steady-state simulation analysis

2008 ◽  
Vol 2 (3) ◽  
pp. 170-185 ◽  
Author(s):  
E K Lada ◽  
N M Steiger ◽  
J R Wilson
Keyword(s):  
Steady State ◽  
Simulation Analysis ◽  
Batch Means ◽  
Steady State Simulation

Bootstrap-based Budget Allocation for Nested Simulation

2021 ◽  
Author(s):  
Kun Zhang ◽  
Guangwu Liu ◽  
Shiyu Wang
Keyword(s):  
Confidence Intervals ◽  
Financial Risk ◽  
Budget Allocation ◽  
Risk Measurement ◽  
Allocation Rule ◽  
Sample Sizes ◽  
Bootstrap Sampling ◽  
Asymptotically Optimal ◽  
Optimal Sample ◽  
Asymptotic Validity

Nested simulation (also referred to as two-level simulation) finds a variety of applications such as financial risk measurement, and a central issue of nested simulation is how to allocate a finite amount of simulation budget to achieve the highest accuracy. In “Bootstrap-based Budget Allocation for Nested Simulation”, Zhang, Liu, and Wang propose a bootstrap-based rule for simulation budget allocation for nested simulation. By utilizing the asymptotically optimal inner- and outer-level sample sizes that are typically unknown, the proposed method employs bootstrap sampling on a small amount of initial samples to estimate the unknown optimal sample sizes, thus providing a reasonably good allocation rule for the main simulation. An allocation rule to ensure the asymptotic validity of confidence intervals is also given.

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