A Monte Carlo Based Procedure for Analyzing Discrete-Time, Nonstationary Simulation Responses Using Classical Time Series Models

In this paper, we propose a procedure for analyzing discrete-time; nonstationary discrete-event simulation responses based on Monte Carlo integration and the use of classical ARIMA (or SARIMA) time-series models. The procedure is illustrated with an exploding single-server queue and a bounded cyclical traffic situation. Some conclusions and recommendations for further work are stated.