Algorithm 727: Quantile Estimation Using Overlapping Batch Statistics

ACM Transactions on Mathematical Software (TOMS)

Volumn 20, Issue 1, 1994, Pages 100-102

  Hashem, Sherif ^a   Schmeiser, Bruce ^a  

^a SCHOOL OF INDUSTRIAL ENGINEERING   (United States)

Author keywords

aggregation; autocorrelation; Monte Carlo; stochastic simulation; time series

Indexed keywords

MONTE CARLO METHODS; SIMULATION; STATISTICS; TIME SERIES ANALYSIS;

AGGREGATION; AUTOCORRELATION; OVERLAPPING BATCH STATISTICS; QUANTILE ESTIMATION; STOCHASTIC SIMULATION;

ALGORITHMS;

EID: 0028388038     PISSN: 00983500     EISSN: 15577295     Source Type: Journal    
DOI: 10.1145/174603.174412     Document Type: Article

References (3)

1. AHO, A., HOPCROFT, J., AND ULLMAN, J. 1974. The Design and Analysis of Computer Algorithms. Addison-Wesley, Reading, Mass., 146-152.
2. CARLSTEIN, E. 1986. The use of subseries values for estimating the variance of a general statistic from a stationary sequence. Ann. Stat., 14, 3, 1171-1179.
3. SCHMEISER, B., AVRAMIDIS, T., AND HASHEM, S. 1990 Overlapping batch statistics. In Proceedings of the 1990 Winter Simulation Conference. IEEE, New York, 395-398.