Simulation-based estimation of quantiles

Abstract

This paper discusses implementation of a sequential quantileestimation algorithm for highly correlated steady-state simulation output. Our primary focus is on issues related to computational and storage requirements of order statistics. The algorithm can compute exact sample quantiles and process sample sizes up to several billion without storing and sorting the whole sequence. The algorithm dynamically increases the sample size so that the quantile estimated satisfies a pre-specified precision requirement.

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