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Regression Analysis for Simulation Practitioners

Jack P. C. Kleijnen
The Journal of the Operational Research Society
Vol. 32, No. 1 (Jan., 1981), pp. 35-43
DOI: 10.2307/2581467
Stable URL: http://www.jstor.org/stable/2581467
Page Count: 9
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Regression Analysis for Simulation Practitioners
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Abstract

Some simple extensions of elementary regression analysis useful for analyzing simulation experiments are given. In simulation variance estimates (standard errors) are usually available but often do not satisfy the assumption of constant variance which underlies elementary regression analysis. Two approaches are possible: either switch to Generalized (or Weighted) Least Squares or continue to use Ordinary Least Squares. The consequences of both approaches are surveyed. Testing the adequacy of the regression model is discussed in detail. A case-study illustrates the statistical techniques. Alternatives to Least Squares are briefly indicated.

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