Sequential Estimation of Quantiles
Jong-Suk Ruth Lee; Donald McNickle and Krzysztof Pawlikowski
Department of Computer Science
University of Canterbury
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.
Keywords : sequential simulation, quantile estimation, regenerative, batch means, spectral analysis, P 2 algorithm