This Article Full Text (PDF) References Alert me when this article is cited Alert me if a correction is posted Services Email this article to a friend Similar articles in this journal Alert me to new issues of the journal Download to citation manager Citing Articles Citing Articles via HighWire Citing Articles via Google Scholar Google Scholar Articles by Biller, B. Articles by Nelson, B. L. Search for Related Content

Fitting Time-Series Input Processes for Simulation

Tepper School of Business, Carnegie Mellon University, Pittsburgh, Pennsylvania 15213
Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208
billerb{at}andrew.cmu.edu
nelsonb{at}northwestern.edu

Providing accurate and automated input-modeling support is one of the challenging problems in the application of computer simulation of stochastic systems. The models incorporated in current input-modeling software packages often fall short because they assume independent and identically distributed processes, even though dependent time-series input processes occur naturally in the simulation of many real-life systems. Therefore, this paper introduces a statistical methodology for fitting stochastic models to dependent time-series input processes. Specifically, an automated and statistically valid algorithm is presented to fit autoregressive-to-anything (ARTA) processes with marginal distributions from the Johnson translation system to stationary univariate time-series data. ARTA processes are particularly well suited to driving stochastic simulations. The use of this algorithm is illustrated with examples.

Subject classifications: simulation; statistical analysis:stochastic input modeling; statistics, correlation, estimation; time series:autoregressive processes; least-squares fitting.
History: Received May 2003; revision received January 2004; accepted April 2004.

This article has been cited by other articles:

				B. Biller Copula-Based Multivariate Input Models for Stochastic Simulation Operations Research, July 1, 2009; 57(4): 878 - 892. [Abstract] [PDF]

				B. Biller and B. L. Nelson Evaluation of the ARTAFIT Method for Fitting Time-Series Input Processes for Simulation INFORMS Journal on Computing, June 1, 2008; 20(3): 485 - 498. [Abstract] [PDF]