Title :
A new perspective on batched quantile estimation
Author :
Alexopoulos, Christos ; Goldsman, David ; Wilson, James R.
Author_Institution :
H. Milton Stewart Sch. of Ind. & Syst. Eng., Georgia Inst. of Technol., Atlanta, GA, USA
Abstract :
We study asymptotically valid confidence intervals (CIs) for steady-state quantiles computed from nonover-lapping 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.
Keywords :
estimation theory; operations research; CI estimator; asymptotic validity; asymptotically valid confidence interval; batched quantile estimation; nonover-lapping batches; steady-state quantiles; user-specified absolute precision; Analytical models; Approximation methods; Computational modeling; Estimation; Random variables; Steady-state;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2012 Winter
Conference_Location :
Berlin
Print_ISBN :
978-1-4673-4779-2
Electronic_ISBN :
0891-7736
DOI :
10.1109/WSC.2012.6465115
