DocumentCode
597393
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
fYear
2012
fDate
9-12 Dec. 2012
Firstpage
1
Lastpage
11
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), Proceedings of the 2012 Winter
Conference_Location
Berlin
ISSN
0891-7736
Print_ISBN
978-1-4673-4779-2
Electronic_ISBN
0891-7736
Type
conf
DOI
10.1109/WSC.2012.6465115
Filename
6465115
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