A note on bias and mean squared error in steady-state quantile estimation

DOI10.1016/J.ORL.2015.05.003MaRDI QIDQ1785384zbMATH OpenOpenAlexWikidataFDO

Authors David F. Muñoz, Adán Ramírez-López

Publication date 28 September 2018

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

Full work available at URL https://doi.org/10.1016/j.orl.2015.05.003

zbMATH Keywords

batch meansquantile estimationsimulation output analysissteady-state simulation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean
• A Note on Quantiles in Large Samples
• Markov Chains and Stochastic Stability
• On the Bahadur representation of sample quantiles for dependent sequences
• On the Bahadur representation of sample quantiles for mixing processes
• On the validity of the batch quantile method for Markov chains
• Strong Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
• The Bahadur representation for sample quantiles under weak dependence
• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables

Cited in

(5)

• A class of biased estimators based on QR decomposition
• On the theoretical comparison of low-bias steady-state estimators
• A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean
• Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
• Performance evaluation of output analysis methods in steady-state simulations

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