Analyzing Simulation Experiments with Common Random Numbers

Abstract

To analyze simulation runs which use the same random numbers, the blocking concept of experimental design is not needed. Instead, this paper applies a linear regression model with a nondiagonal covariance matrix. This covariance matrix does not need to have a specific pattern such as constant covariances. A simple example yields surprising results. The paper proposes a new framework for the error analysis. This framework consists of three factors (namely, common random numbers, replication, model validity), each with three levels.

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