Arma-Based Confidence Intervals for Simulation Output Analysis

1 February 1984

journal article
research article
Published by Taylor & Francis in American Journal of Mathematical and Management Sciences

Vol. 4 (3) , 345-373
https://doi.org/10.1080/01966324.1984.10737150

Abstract

A method is presented for obtaining a confidence interval for the mean of a stationary stochastic process. The method fits an autoregressive moving average (ARMA) model to a sequence of sample outputs. The effectiveness of the confidence interval procedure is measured by applying the procedure to simulation output sequences generated by ARMA models and an M/M/1 queueing system model. Performance characteristics of the procedure are excellent for ARMA output sequences, and the coverage achieved with queueing data is promising.

Keywords

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