Problems in the statistical analysis of simulation experiments

The comparison of means and the length of sample records

George S. Fishman

ResearchPublished 1966

A continuation of research into statistical analysis of simulation experiments containing autocorrelated time series. The Memorandum shows how to estimate the lengths of sample records needed to use certain large sample results in measuring stability, describes analogies between autocorrelated data and independent observations, and suggests a way to test the difference of the mean of two experiments. It also shows how the variance of the sample mean relates to the spectrum of the generating process, and describes estimation of the quantities of interest. The results expand the possibilities of statistical spectral analysis as applied to simulation experiments. (See also RM-4393-PR.) 29 pp.

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Fishman, George S., Problems in the statistical analysis of simulation experiments: The comparison of means and the length of sample records. Santa Monica, CA: RAND Corporation, 1966. https://www.rand.org/pubs/research_memoranda/RM4880.html.
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