Article ID: | iaor20091447 |
Country: | United Kingdom |
Volume: | 35 |
Issue: | 4 |
Start Page Number: | 1003 |
End Page Number: | 1016 |
Publication Date: | Apr 2008 |
Journal: | Computers and Operations Research |
Authors: | Kelton W. David, Chen E. Jack |
Keywords: | statistics: distributions |
This paper discusses a unified approach for estimating, via a histogram, the steady-state distribution of a stochastic process observed by simulation. The quasi-independent (QI) procedure increases the simulation run length progressively until a certain number of essentially independent and identically distributed samples are obtained. It is known that order-statistics quantile estimators are asymptotically unbiased when the output sequences satisfy certain conditions. We compute sample quantiles at certain grid points and use Lagrange interpolation to estimate any