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| Author: | Chen, B. C. Sargent, R. G. |
| Title: | Using standardized time series to estimate confidence intervals for the difference between two stationary stochastic processes. |
| Journal: | Operations Research
1987 : MAY-JUN, VOL. 35:3, p. 428-436 |
| Index terms: | STOCHASTIC PROCESSES SIMULATION MODELS STATISTICAL METHODS |
| Language: | eng |
| Abstract: | Confidence interval procedures are presented for comparing the means of two independent sets of data when the data in each set are only strictly stationary, i.e. can be correlated. These new confidence intervals are developed using the standardized time series method. It is shown that the four new estimators for each case have asymptotic properties that are superior to the classical estimator. The intervals can be used to compare two different alternative policies or system designs by means of simulation, as well as to validate stationary discrete event simulation models. |
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