R.C.H. CHENG ANALYSIS OF SIMULATION ANALYSIS OF SIMULATION OUTPUT BY RESAMPLING

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1、R.C.H.CHENG:ANALYSISOFSIMULATIONANALYSISOFSIMULATIONOUTPUTBYRESAMPLINGR.C.H.CHENGFacultyofMathematicalStudiesUniversityofSouthamptonSouthamptonSO171BJAbstract:Bootstrapresamplingisanextremelypracticalandeffectivewayofstudyingthedistributionalpropertiesofsimulationoutputwhenthisissubjectt

2、orandomvariation.Thepurposeofthispaperistoshowthatmanyproblemsofsensitivityanalysis(SA)andvalidationcanbeverysimplyhandledbythismethod.Weconsiderclassicalnon-parametricversionofthebootstrapandshowthatitcanbeappliedinanaturalwayinsimulationstudieswithoutbecomingimmersedincomplicatedstatis

3、ticalmethodology.ThemainmessageofthepaperisthatthebootstrapmethodshouldbethestatisticalmethodoffirstresortinSAandvalidationstudies.Keywords:Bootstrapping,sensitivityanalysis,validation,metamodels1INTRODUCTIONq=q(y)Bootstrappingisawell-understoodmethodforstudyingthedistributionofstatistic

4、alvariablesbycalculatedfromy.Atypicalexampleiswhereqisresampling[DavisonandHinkley1997,Chernickanaveragevalue1999].Thislatterreference,withits84page1bibliography,indicatesthehugeinterestintheq=Ξy(t)dt.Ttopic.Thusthecommoninitialreactionofmanynon-expertsthatitisasuspectmethodwhereoneTechn

5、icallyqisthusavectorfunctionalofy,buttriestoget'somethingfornothing',isquiteweneednotconcernourselveswiththis;allweunfounded.Itistruethatforfinitesamplesizesanneedtonoteisthatqisarandomvariablesothatapproximationisinvolved;howeverashasbeenitsstudyreducestoconsideringitsdistributionalampl

6、ydemonstratedboththeoreticallyandinproperties.practice,themethodisoftenespeciallyeffectivewhensamplesizesaresmall,whenotherwell-Inthenextsectionweconsiderinmoredetailtheusedandmuchreliedonmethodshavepropertiesssettingtypicallyencounteredinasimulationthataredubious[Hall,1992].model.Sectio

7、n3describesthebootstrapmethodingeneralterms,whilstinSection4itisappliedThepurposeofthisarticleistopointoutthetotwobasicproblemsinsensitivityanalysisandgeneralityofapplicationofbootstrappingbyinvalidation.Section5discussestwo,moreconsidering,inaunifiedway,howitcanbeadvance