| Abstract: | We analyse a naive method using sample mean and sample variance to test the convergence of simulation. We find this method is valid for identically, independently distributed samples, as well as correlated samples with correlation disappearing in long period. Our simulation results on the approximation to bankruptcy probability (BP) show the naive method compares well with the Half-Width, Geweke and CUSUM methods in terms of accuracy and time cost. There are clear evidences of variance reduction from tail-distribution sampling for all convergence test methods when the true BP is very low. |
