Coverage Error for Confidence Intervals Arising in Simulation Output Analysis

P. W. Glynn

Proceedings of the 1982 Winter Simulation Conference, 366-375 (1982)

Coverage error asymptotics for confidence intervals arising in simulation are discussed~ Asymptotic expansions, to order O(n-1) (n is the sample size), are given for confidence intervals associated with sequences of independent and identically distributed random variables, as well as regenerative processes. Implications for simulation are emphasized.