SQSTS: A sequential procedure for estimating steady-state quantiles using standardized time series

Athanasios Lolos, J. Haden Boone, Christos Alexopoulos, David Goldsman, Kemal Dinçer Dingeç, Anup Mokashi and James R. Wilson

Journal of Simulation, 2024, vol. 18, issue 6, 988-1010

Abstract: We develop and evaluate SQSTS, an automated sequential procedure for computing confidence intervals (CIs) for steady-state quantiles based on the simulation analysis methods of standardized time series (STS), batching, and sectioning. Using recent theoretical developments for STS-based quantile estimation in dependent sequences, we formulate the key steps in SQSTS for controlling the growth of the batch size on successive iterations of the procedure. The variance parameter associated with the full-sample quantile estimator is estimated by a combination of estimators that are asymptotically independent of each other and the full-sample quantile estimator with increasing batch size and a fixed number of batches. Extensive experimentation revealed that SQSTS performed well compared to its competitors in terms of estimated CI coverage probabilities; and it outperformed those competitors with regard to average sample-size requirements. Finally, we outline an extension of SQSTS for computing individual CIs for a set of selected quantiles.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17477778.2024.2362438 (text/html)
Access to full text is restricted to subscribers.

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:taf:tjsmxx:v:18:y:2024:i:6:p:988-1010

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/tjsm20

DOI: 10.1080/17477778.2024.2362438

Access Statistics for this article

Journal of Simulation is currently edited by Christine Currie

More articles in Journal of Simulation from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().