In B.~Johansson, S.~Jain, J.~Montoya-Torres, J.~Hugan, & E.~Yücesan, editors, Proceedings of the 2010 Winter Simulation Conference, pages 184–197, Piscataway, NJ, 2010. Institute of Electrical and Electronics Engineers, Inc.. Paper abstract bibtex
The initial transient is an unavoidable issue when estimating parameters of steady-state distributions. We discuss contexts and factors that affect how the initial transient is handled, provide a bibliography (from the system simulation literature), discuss criteria for evaluating initial-transient algorithms, arguing for focusing on the mean squared error (mse). We discuss the MSER statistic, showing that it is asymptotically proportional to the mse and therefore a good foundation for initial-transient algorithms. We suggest two new algorithms (MSER-LLM and MSER-LLM2) for using the MSER statistic and compare them, based on empirical results for M/M/1 and AR(1) data processes, to the original MSER algorithm (MSER-GM).