Title :
A Monte Carlo Based Procedure for Analyzing Discrete-Time, Nonstationary Simulation Responses Using Classical Time Series Models
Author :
Brandão, Rita Marques ; Nova, Acácio M O Porta
Author_Institution :
Dept. de Mat., Univ. dos Acores, Ponta Delgada, Portugal
Abstract :
In this paper, we propose a procedure for analyzing discrete-time; nonstationary discrete-event simulation responses based on Monte Carlo integration and the use of classical ARIMA (or SARIMA) time-series models. The procedure is illustrated with an exploding single-server queue and a bounded cyclical traffic situation. Some conclusions and recommendations for further work are stated.
Keywords :
Monte Carlo methods; autoregressive moving average processes; discrete event simulation; time series; Monte Carlo-based procedure; autoregressive integrated moving average; classical ARIMA; classical time series model; discrete-time analysis; nonstationary discrete-event simulation response; Analytical models; Discrete event simulation; Monte Carlo methods; Packaging; Predictive models; Sampling methods; Stochastic processes; Time series analysis; Traffic control; US Department of Transportation; Monte Carlo integration; discrete-event simulation; simulation metamodels; time-series models;
Conference_Titel :
Advances in System Simulation, 2009. SIMUL '09. First International Conference on
Conference_Location :
Porto
Print_ISBN :
978-1-4244-4863-0
Electronic_ISBN :
978-0-7695-3773-3
DOI :
10.1109/SIMUL.2009.15
