WSC '95 Proceedings of the 27th conference on Winter simulation
Simulating Stable Stochastic Systems, VI: Quantile Estimation
Journal of the ACM (JACM)
Simulation-based estimation of quantiles
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Batching methods for simulation output analysis: a stopping procedure based on phi-mixing conditions
Proceedings of the 32nd conference on Winter simulation
The Art of Computer Programming Volumes 1-3 Boxed Set
The Art of Computer Programming Volumes 1-3 Boxed Set
Simulation Modeling and Analysis
Simulation Modeling and Analysis
Quantile and histogram estimation
Proceedings of the 33nd conference on Winter simulation
Estimating steady-state distributions via simulation-generated histograms
Computers and Operations Research
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This paper discusses the implementation of a two-phase procedure to construct confidence intervals for a simulation estimator of the steady-state quantiles of stochastic processes. We compute sample quantiles at certain grid points and use Lagrange interpolation to estimate the p quantile. The algorithm dynamically increases the sample size so that quantile estimates satisfy the proportional precision at the first phase and the relative or absolute precision at the second phase. We show that the procedure gives asymptotically unbiased quantile estimates. An experimental performance evaluation demonstrates the validity of using grid points and the quasi-independent procedure to estimate quantiles.