Simulating Stable Stochastic Systems, VI: Quantile Estimation

  • Authors:

  • Donald L. Iglehart

  • Affiliations:

  • Department of Operations Research, Stanford University, Stanford, CA

  • Venue:
  • Journal of the ACM (JACM)
  • Year:
  • 1976

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Abstract

In this paper the author continues his study of the regenerative method for analyzing simulations of stable stochastic systems. The principal concern is to estimate the quantiles of the stationary distribution of a regenerative process. Markov chains in discrete or continuous time and multiple server queues in light traffic provide concrete examples of regenerative processes to which this technique applies. Approximate confidence intervals for these quantiles are derived from appropriate central limit theorems. The method has been applied to three stochastic simulations, and the numerical results are presented.