Determination of Run Length in Simulations of Stable Stochastic Systems.
CONTROL ANALYSIS CORP PALO ALTO CALIF
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Existing results in the theory of sequential estimation are not broad enough to provide the simulation practitioner with adequate guidance as to when to terminate a simulation run. This report extends the theory to include estimates which arise in simulations and then describes a series of experiments undertaken to investigate the effect of random stopping rules in regenerative simulations. It is found that extreme care must be exercised in interpreting the results of such simulations because the probability coverage of the final confidence interval is often much lower than the a priori specified value.
- Statistics and Probability