TY - GEN

T1 - Confidence intervals for quantiles with standardized time series

AU - Calvin, James M.

AU - Nakayama, Marvin K.

PY - 2013

Y1 - 2013

N2 - Schruben (1983) developed standardized time series (STS) methods to construct confidence intervals (CIs) for the steady-state mean of a stationary process. STS techniques cancel out the variance constant in the asymptotic distribution of the centered and scaled estimator, thereby eliminating the need to consistently estimate the asymptotic variance to obtain a CI. This is desirable since estimating the asymptotic variance in steady-state simulations presents nontrivial challenges. Difficulties also arise in estimating the asymptotic variance of a quantile estimator. We show that STS methods can be used to build CIs for a quantile for the case of crude Monte Carlo (i.e., no variance reduction) with independent and identically distributed outputs. We present numerical results comparing CIs for quantiles using STS to other procedures.

AB - Schruben (1983) developed standardized time series (STS) methods to construct confidence intervals (CIs) for the steady-state mean of a stationary process. STS techniques cancel out the variance constant in the asymptotic distribution of the centered and scaled estimator, thereby eliminating the need to consistently estimate the asymptotic variance to obtain a CI. This is desirable since estimating the asymptotic variance in steady-state simulations presents nontrivial challenges. Difficulties also arise in estimating the asymptotic variance of a quantile estimator. We show that STS methods can be used to build CIs for a quantile for the case of crude Monte Carlo (i.e., no variance reduction) with independent and identically distributed outputs. We present numerical results comparing CIs for quantiles using STS to other procedures.

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U2 - 10.1109/WSC.2013.6721454

DO - 10.1109/WSC.2013.6721454

M3 - Conference contribution

AN - SCOPUS:84894216943

SN - 9781479939503

T3 - Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013

SP - 601

EP - 612

BT - Proceedings of the 2013 Winter Simulation Conference - Simulation

T2 - 2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013

Y2 - 8 December 2013 through 11 December 2013

ER -