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- Title
Using common random numbers for indifference-zone selection and multiple comparisons in simulation.
- Authors
Nelson, Barry L.; Matejcik, Frank J.
- Abstract
We present a general recipe for constructing experiment design and analysis procedures that simultaneously provide indifference-zone selection and multiple-comparison inference for choosing the best among k simulated systems. We then exhibit two such procedures that exploit the variance-reduction technique of common random numbers to reduce the sample size required to attain a fixed precision. One procedure is based on the Bonferroni inequality and is guaranteed to be statistically conservative. The other procedure is exact under a specific dependence structure, but may be slightly liberal otherwise. Both are easy to apply, requiring only simple calculations and tabled constants. We illustrate the procedures with a numerical example.
- Subjects
SIMULATION methods &; models; RANDOM numbers; MATHEMATICAL analysis; VARIANCES; ANALYSIS of variance; SAMPLE size (Statistics); STATISTICAL sampling; MATHEMATICAL statistics; STATISTICS; NUMERICAL analysis; MATHEMATICS
- Publication
Management Science, 1995, Vol 41, Issue 12, p1935
- ISSN
0025-1909
- Publication type
Recipe
- DOI
10.1287/mnsc.41.12.1935