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Estimación de la Esperanza, Varianza y Cuantiles en Simulaciones de Estado Estable.
- Source :
-
Información Tecnológica . 2015, Vol. 26 Issue 1, p3-12. 10p. - Publication Year :
- 2015
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- Spanish
- ISSN :
- 07168756
- Volume :
- 26
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Información Tecnológica
- Publication Type :
- Academic Journal
- Accession number :
- 108732604
- Full Text :
- https://doi.org/10.4067/S0718-07642015000100002