A Note on Skewness in Regenerative Simulation

• 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.

Subject headings

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Keyword

ABC interval

Batch means

Busy cycle

Busy period

Coverage probability

Fieller test

Jackknife

M

G

1 queue

Regenerative process

Regenerative simulation

Skewness

Mathematical statistics

Matematisk statistik

Publication and Content Type

ref (subject category)

art (subject category)