A Batching Approach to Quantile Estimation in Regenerative Simulations
A Batching Approach to Quantile Estimation in Regenerative Simulations
复制标题
再生模拟中分位数估计的批处理方法
DOI：
10.1287/mnsc.28.5.573
复制
发表时间：
1982
影响因子：
5.4
通讯作者：
A. Seila
中科院分区：
文献类型：
--
作者：
A. Seila
This paper presents a new method, called the batch quantile method, for estimating quantiles in regenerative simulations. The quantile estimator is consistent and asymptotically normal, and the method can be easily implemented and does not require prior knowledge of the range of values the data will assume. Empirical studies show adequate coverage of confidence intervals when batches of 50 cycles or more are used.
