AMS classifications: 62G08, 62G10, 62G20, 62G30; 60F17.

Kriging is a popular method for estimating the global optimum of a simulated system. Kriging approximates the input/output function of the simulation model. Kriging also estimates the variances of the predictions of outputs for input combinations not yet simulated. These predictions and their...

This article uses a sequentialized experimental design to select simulation input com- binations for global optimization, based on Kriging (also called Gaussian process or spatial correlation modeling); this Kriging is used to analyze the input/output data of the simulation model (computer...

Classic linear regression models and their concomitant statistical designs assume a univariate response and white noise.By definition, white noise is normally, independently, and identically distributed with zero mean.This survey tries to answer the following questions: (i) How realistic are...

Abstract: This paper investigates two related questions: (1) How to derive a confidence interval for the output of a combination of simulation inputs not yet simulated? (2) How to select the next combination to be simulated when searching for the optimal combination? To answer these questions,...

Consider the nonparametric regression model Y = m(X)+e, where the function m is smooth, but unknown.We construct tests for the independence of e and X, based on n independent copies of (X; Y ).The testing procedures are based on differences of neighboring Y 's.We establish asymptotic results for...

In this paper we confront sensitivity analysis with diagnostic testing.Every model is misspecified, but a model is useful if the parameters of interest (the focus) are not sensitive to small perturbations in the underlying assumptions. The study of the e ect of these violations on the focus is...

In practice, simulation analysts often change only one factor at a time, and use graphical analysis of the resulting Input/Output (I/O) data. Statistical theory proves that more information is obtained when applying Design Of Experiments (DOE) and linear regression analysis. Unfortunately,...

We look at the contribution of various income components on income inequality and the changes in this in Belgium.Starting from the Shorrocks decomposition, we apply bootstrapping to construct confidence intervals for both the annual decomposition and the changes over time.It appears that the...

Optimization of simulated systems is tackled by many methods, but most methods assume known environments. This article, however, develops a 'robust' methodology for uncertain environments. This methodology uses Taguchi's view of the uncertain world, but replaces his statistical techniques by...