Sequential estimation of quantiles.

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Reports
Publisher's DOI/URI
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Publisher
University of Canterbury. Computer Science and Software Engineering
Journal Title
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Date
1998
Authors
Lee, Jong-Suk Ruth
McNickle, Donald
Pawlikowski, Krzysztof
Abstract

Quantiles are convenient measures of the entire range of values of simulation outputs. However, unlike the mean and standard deviation, the observations have to be stored since calculation of quantiles requires several passes through the data. Thus, quantile estimation(QE) requires a large amount of computer storage and computation time. Several approaches for estimating quantiles in RS(regenerative simulation) and non-RS, which can avoid the difficulties of QE, have been proposed in [Igl76], [Sei82b], and [JC85]. In this report, we implemented these three approaches known as: linear QE, batching QE, and spectral P 2 QE are studied in the context of sequential steady-state simulation. Numerical results of coverage analysis of these three QE approaches are presented.

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Citation
Keywords
sequential simulation, quantile estimation, regenerative, batch means, spectral analysis, P2 algorithm
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
Fields of Research::46 - Information and computing sciences::4602 - Artificial intelligence::460207 - Modelling and simulation
Field of Research::08 - Information and Computing Sciences::0802 - Computation Theory and Mathematics::080205 - Numerical Computation
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Copyright Jong-Suk Ruth Lee