Indirect cycle time quantile estimation using the Cornish–Fisher expansion

Jennifer Bekki, John Fowler, Gerald Mackulak and Barry Nelson

IISE Transactions, 2010, vol. 42, issue 1, 31-44

Abstract: This paper proposes a technique for estimating steady-state quantiles from discrete-event simulation models, with particular attention paid to cycle time quantiles of manufacturing systems. The technique is based on the Cornish–Fisher expansion, justified through an extensive empirical study, and is supported with mathematical analysis. It is shown that the technique provides precise and accurate estimates for the most commonly estimated quantiles with minimal data storage and low computational requirements.

Date: 2010
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DOI: 10.1080/07408170903019135

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