A Batching Approach to Quantile Estimation in Regenerative Simulations

This paper presents a new method, called the batch quantile method, for estimating quantiles in regenerative simulations. The quantile estimator is consistent and asymptotically normal, and the method can be easily implemented and does not require prior knowledge of the range of values the data will assume. Empirical studies show adequate coverage of confidence intervals when batches of 50 cycles or more are used.

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Year of publication:	1982
Authors:	Seila, Andrew F.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 28.1982, 5, p. 573-581
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	quantile estimation \| discrete event simulation \| regenerative stochastic processes

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.28.5.573 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009218026