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Información tecnológica

On-line version ISSN 0718-0764

Abstract

MUNOZ, David F  and  RAMIREZ-NAFARRATE, Adrián. Mean, Variance and Quantile Estimation for Steady-State Simulation. Inf. tecnol. [online]. 2015, vol.26, n.1, pp.03-12. ISSN 0718-0764.  http://dx.doi.org/10.4067/S0718-07642015000100002.

In this article three methods (multiple replications, non-overlapping batches and spaced batches) to estimate the expectation, the variance and the 90%-quantile of the steady-state waiting time in an M/M/1 queue are compared. Our comparison is based on the empirical coverage, bias and relative error of 90% asymptotic confidence intervals from 1000 independent replications of a simulation-based estimation. Experimental results show that all three methods provide similar (and valid) empirical coverage for the estimation of the expectation, variance and quantile; and the method of non-overlapping batches provided smaller bias and relative errors than the other two methods. In addition to this, an example of a continuous state-space Markov chain that is ergodic but non-geometric, is presented. For this case asymptotically valid confidence intervals by using the methods considered in this paper are also obtained.

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