Initial transient detection in simulations using the second-order cumulant spectrum

DOI10.1007/BF02136838zbMath0819.62077MaRDI QIDQ1805490

John W. Dalle Molle, Douglas J. Morrice

Publication date: 19 June 1995

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

meanvariancenonstationary time seriesinitial transient detectioninitialization biasmoments of cumulantsnonstationary power spectrumsecond-order cumulant spectrumsimulation output datatesting stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Multiresolution analysis of S\&P500 time series

Uses Software

• SAS

Cites Work

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• Alternative Models for the Analysis of Variance
• On a Method of Calculation of Semi-Invariants
• Simulation Run Length Control in the Presence of an Initial Transient
• Optimal Tests for Initialization Bias in Simulation Output
• Detecting a transient signal by bispectral analysis
• Detecting Initialization Bias in Simulation Output
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Evaluation of startup policies in simulation experiments
• Evaluation of commonly used rules for detecting “steady state” in computer simulation
• Planning Queueing Simulations
• An Introduction to Polyspectra

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