A note on bias and mean squared error in steady-state quantile estimation

被引：3

作者：

Munoz, David F. ^{[1
]}

Ramirez-Lopez, Adan ^{[1
]}

机构：

[1] Inst Tecnol Autonomo Mexico, Dept Ingn Ind & Operac, Mexico City 01080, DF, Mexico

来源：

OPERATIONS RESEARCH LETTERS | 2015年 / 43卷 / 04期

关键词：

Quantile estimation; Steady-state simulation; Simulation output analysis; Batch means; BAHADUR REPRESENTATION; SAMPLE QUANTILES; SEQUENCES;

D O I：

10.1016/j.orl.2015.05.003

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We show that, under reasonable assumptions, the performance of the jackknife, classical and batch means estimators for the estimation of quantiles of the steady-state distribution exhibit similar properties as in the case of the estimation of a nonlinear function of a steady-state mean. We present some experimental results from the simulation of the waiting time in queue for an M/M/1 system to confirm our theoretical results. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：374 / 377

页数：4

共 11 条

[1] A Note on Bias and Mean Squared Error in Steady-State Quantile Estimation
Munoz, David F.
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[2] Quantile estimation in sequential steady-state simulation
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