Multivariate inference in stationary simulation using batch means

Abstract

Methods are presented for computing a joint confidence region and simultaneous confidence intervals for the mean of multivariate observations from a simulation operating in steady-state. These methods place observations into batches and use the batch means to compute the confidence region or confidence intervals. As sequential method to determine the batch size that assures independence among the multivariate batch means is presented and empirical studies are used to demonstrate the performance and properties of these methods.

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