Stationarity tests and MSER-5: Exploring the intuition behind mean-squared-error-reduction in detecting and correcting initialization bias

摘要

We explore the reasoning behind MSER-5, an efficient and effective truncation heuristic for reducing initialization bias in steady-state simulation. We also compare MSER-5 with the KPSS stationarity test as one means of investigating the possibility that MSER’s effectiveness is the result of its utility as a stationarity measure. Conversely, this comparison also lets us explore whether or not a stationarity test from the time-series literature can be used as an effective initialization bias-control heuristic. Finally, we investigate the use of an alternative form of MSER-5 that uses a variance estimator that adjusts for serial correlation.