Quantile Estimation Methods for Discrete Event Simulations of Regenerative Systems.
NORTH CAROLINA UNIV AT CHAPEL HILL
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D. L. Iglehart has proposed a method for estimating quantiles in regenerative processes. The method of averaging MA estimator is proposed and evaluated as an alternative to Igleharts method. It is shown that the method of averaging is conceptually simpler and easier to implement than Igleharts method, and under appropriate circumstances, the estimator has the same asymptotic normal distribution as Igleharts estimator. Simulation results using the .9-quantile of waiting time in the MM1 queue show that the MA estimator is seriously biased however, when the jackknife technique is applied, the method of averaging performs comparably with Igleharts method. The method of averaging appears to be preferable for estimating quantiles in discrete event simulations of regenerative systems. Author
- Statistics and Probability