Brownian bridge hypothesis testing for the initial transient problem

P.W. Glynn; E. Lim

doi:10.1109/WSC.2011.6147777

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Conference proceeding

Brownian bridge hypothesis testing for the initial transient problem

P.W. Glynn and E. Lim

Proceedings - Winter Simulation Conference, pp.481-487

2011 Winter Simulation Conference (WSC) (Phoenix, AZ, USA, 12/11/2011 - 12/14/2011)

2011

DOI: https://doi.org/10.1109/WSC.2011.6147777

Abstract

Stochastic processes

Simulation methods

Convergence

Bridges

This paper models the detection of the initial transient in a steady-state simulation problem as a change point hypothesis testing problem. We introduce two new hypothesis tests for the initial transient, each of which is based on the Brownian bridge process and each of which is a composite test that involves testing against infinitely many alternatives (that depend on the duration of the transient period). One of our two procedures is closely related to the class of tests proposed by Schruben, Singh, and Tierney (1983).

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Title: Brownian bridge hypothesis testing for the initial transient problem
Creators: P.W. Glynn
E. Lim
Publication Details: Proceedings - Winter Simulation Conference, pp.481-487
Conference: 2011 Winter Simulation Conference (WSC) (Phoenix, AZ, USA, 12/11/2011 - 12/14/2011)
Academic Unit: Adelphi University; Decision Sciences and Marketing; Robert B. Willumstad School of Business
Resource Type: Conference proceeding
DOI: https://doi.org/10.1109/WSC.2011.6147777
Record Identifier: 991004361591306266