On the validity of the batch quantile method for Markov chains

DOI10.1016/J.ORL.2010.01.001zbMath1187.90312OpenAlexW2070457515WikidataQ61039809 ScholiaQ61039809MaRDI QIDQ974998

David F. Muñoz

Publication date: 8 June 2010

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2010.01.001

zbMATH Keywords

quantile estimationsteady-state simulationbatch meanssimulation output analysis

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Related Items (6)

Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles ⋮ Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations ⋮ On the incorporation of parameter uncertainty for inventory management using simulation ⋮ Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques ⋮ A note on bias and mean squared error in steady-state quantile estimation ⋮ Performance evaluation of output analysis methods in steady-state simulations

Cites Work

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• Markov chains and stochastic stability
• Geometric ergodicity of Metropolis algorithms
• A Liapounov bound for solutions of the Poisson equation
• Stochastic simulation: Algorithms and analysis
• A Batching Approach to Quantile Estimation in Regenerative Simulations
• A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean
• A Note on Quantiles in Large Samples
• A New Proof of the Bahadur Representation of Quantiles and an Application

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