Estimación de la Esperanza, Varianza y Cuantiles en Simulaciones de Estado Estable

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.