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http://dx.doi.org/10.9709/JKSS.2014.23.3.011

Application of Common Random Numbers in Simulation Experiments Using Central Composite Design  

Kwon, Chi-Myung (동아대학교 경영정보학과)
Publication Information
Journal of the Korea Society for Simulation / v.23, no.3, 2014 , pp. 11-17 More about this Journal
Abstract
The central composite design (CCD) is often used to estimate the second-order linear model. This paper uses a correlation induction strategy of common random numbers (CRN) in simulation experiment and utilizes the induced correlations to obtain better estimates for the second-order linear model. This strategy assigns the CRN to all design points in the CCD. An appropriate selection of the axial points in CCD makes the weighted least squares (WLS) estimator be equivalent to ordinary least squares (OLS) estimator in estimating the linear model parameters of CCD. We analytically investigate the efficiency of this strategy in estimation of model parameters. Under certain conditions, this correlation induction strategy yields better results than independent random number strategy in estimating model parameters except intercept. The simulation experiment on a selected model supports such results. We expect a suggested random number assignment is useful in application of CCD in simulation experiments.
Keywords
Correlation Induction Strategy; Central Composite Design; Common Random Number; Efficiency of Estimator;
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Times Cited By KSCI : 1  (Citation Analysis)
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