On the validity of the batch quantile method for Markov chains

Authors:
David F. MuñOz
Affiliations:
Departamento de Ingeniería Industrial y Operaciones, Instituto Tecnológico Autónomo de México, Río Hondo # 1, 01080 Mexico City, Mexico
Venue:
Operations Research Letters
Year:
2010

Citing 2
Cited 1

A batch means methodology for estimation of a nonlinear function of a steady-state mean

Management Science
Markov Chains and Stochastic Stability

Markov Chains and Stochastic Stability

A new perspective on batched quantile estimation

Proceedings of the Winter Simulation Conference

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Abstract

We discuss the asymptotic validity of confidence intervals for quantiles of performance variables when simulating a Markov chain. We show that a batch quantile methodology (similar to the batch means method) can be applied to obtain confidence intervals that are asymptotically valid under mild assumptions.