Tid: 17 februari 2011 kl 15.15-17.00.

Plats : Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25. Karta!

Föredragshållare: Tobias Rydén, Matematisk statistik, KTH

Titel: Skewness in regenerative simulation

Abstract

Regenerative simulation has advantages in terms of independence between cycles and no problems with a transient period before reaching stationarity. In this talk I will show, empirically and theoretically, that performance evaluation by means of regenerative simulation however 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. I will 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 I provide theoretical results on skewness to support the empirical findings.

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