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A note on skewness in regenerative simulation

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  • Søren Asmussen
  • Tobias Rydén, Department of Mathematics, Royal Institute of Technology, Stockholm, Sverige
  • Institut for Matematiske Fag
The purpose of this article is to show, empirically and theoretically, that performance evaluation by means of regenerative simulation often involves random variables with distributions that are heavy tailed and heavily skewed. This, in turn, leads to the variance of estimators being poorly estimated, and confidence intervals having actual coverage quite different from (typically lower than) the nominal one. We illustrate these general ideas by estimating the mean occupancy and tail probabilities in M/G/1 queues, comparing confidence intervals computed from batch means to various intervals computed from regenerative cycles. In addition, we provide theoretical results on skewness to support the empirical findings.
OriginalsprogEngelsk
TidsskriftCommunications in Statistics: Simulation and Computation
Vol/bind40
Nummer1
Sider (fra-til)45-57
Antal sider13
ISSN0361-0918
DOI
StatusUdgivet - 2011

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