The P2 algorithm for dynamic calculation of quantiles and histograms without storing observations
Communications of the ACM
Sequential procedure for simultaneous estimation of several percentiles
Transactions of the Society for Computer Simulation International
Strong consistency of the variance estimator in steady-state simulation output analysis
Mathematics of Operations Research
WSC '95 Proceedings of the 27th conference on Winter simulation
Large-sample results for batch means
Management Science
Simulating Stable Stochastic Systems, VI: Quantile Estimation
Journal of the ACM (JACM)
A spectral method for confidence interval generation and run length control in simulations
Communications of the ACM - Special issue on simulation modeling and statistical computing
Discrete-event simulation
Convergence Properties of the Batch Means Method for Simulation Output Analysis
INFORMS Journal on Computing
Overlapping batch means: something for nothing?
WSC '84 Proceedings of the 16th conference on Winter simulation
Probabilistic Error Bounds for Simulation Quantile Estimators
Management Science
ASAP3: a batch means procedure for steady-state simulation analysis
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Simulation Modeling and Analysis (McGraw-Hill Series in Industrial Engineering and Management)
Simulation Modeling and Analysis (McGraw-Hill Series in Industrial Engineering and Management)
Estimating steady-state distributions via simulation-generated histograms
Computers and Operations Research
The more plot: displaying measures of risk & error from simulation output
Proceedings of the 40th Conference on Winter Simulation
Overlapping Variance Estimators for Simulation
Operations Research
Efficient Computation of Overlapping Variance Estimators for Simulation
INFORMS Journal on Computing
INFORMS Journal on Computing
On the validity of the batch quantile method for Markov chains
Operations Research Letters
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We study asymptotically valid confidence intervals (CIs) for steady-state quantiles computed from nonoverlapping batches. Asymptotic validity of the CIs is established under conditions that are weaker and more easily verifiable than the usual mixing assumptions. The performance of the CIs is evaluated with a preliminary experimental study. These results form the basis for developing fully sequential procedures that yield CI estimators of steady-state quantiles with user-specified absolute or relative precision.