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- W2024301728 abstract "Abstract We consider the batching approach to interval estimation of the mean of a stochastic process based upon simulation output. In particular, using batch means processes generated from underlying AR(1) processes and M/M/1 queueing systems, we study the effects of undetected autocorrelation on both the probability of coverage and the performance of the Shapiro-Wilk test of normality. We also conduct power comparisons of two tests used to detect first-order autocorrelation in batch means processes: the von Neumann ratio test and a rank version thereof proposed by Bartels (1982). Our results indicate that a large number of batches (perhaps at least 100) be used when testing for the presence of autocorrelation." @default.
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- W2024301728 date "1989-11-01" @default.
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- W2024301728 title "On coverage probability, independence and normality in batch means algorithms" @default.
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- W2024301728 doi "https://doi.org/10.1016/0377-2217(89)90214-2" @default.
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