Construction of cumulative mean bounds for simulation output
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Authors
Singham, Dashi I.
Atkinson, Michael P.
Subjects
standardized time series
simulation output analysis
quality control measures
simulation output analysis
quality control measures
Advisors
Date of Issue
2015-05
Date
May 2015
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
We develop a new measure of reliability, called cumulative mean bounds, that assesses the mean behavior of a process by calculating
the probability that the cumulative sample mean will stay below its long-term sample mean, with a given tolerance, over a period of
time. In this report, we provide a derivation of a lower bound for the measure when the underlying data are independent and identically
distributed with a normal distribution.This derivation provides a preliminary basis for parallel extensions to the two-sided limiting
case when we calculate the probability that the sample mean stays within a given distance from the true mean when the assumptions
of independence and normality are removed.
Type
Technical Report
Description
Series/Report No
Department
Operations Research (OR)
Organization
Identifiers
NPS Report Number
NPS-OR-15-004
Sponsors
Funder
Format
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.