A Batching Approach to Quantile Estimation in Regenerative Simulations

This paper presents a new method, called the batch quantile method, for estimating quantiles in regenerative simulations. The quantile estimator is consistent and asymptotically normal, and the method can be easily implemented and does not require prior knowledge of the range of values the data will assume. Empirical studies show adequate coverage of confidence intervals when batches of 50 cycles or more are used.

• 저널Management Science · 28(5) · 573–581
• 토픽Insurance, Mortality, Demography, Risk Management · Demography
• DOI10.1287/mnsc.28.5.573
• 저자Andrew F. Seila