A Batching Approach to Quantile Estimation in Regenerative Simulations

Andrew F. Seila
Additional contact information
Andrew F. Seila: University of Georgia

Management Science, 1982, vol. 28, issue 5, 573-581

Abstract: 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.

Keywords: quantile estimation; discrete event simulation; regenerative stochastic processes (search for similar items in EconPapers)
Date: 1982
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.28.5.573 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:28:y:1982:i:5:p:573-581

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().