Abstract
Schruben (1983) developed standardized time series (STS) methods to construct confidence intervals (CIs) for the steady-state mean of a stationary process. STS techniques cancel out the variance constant in the asymptotic distribution of the centered and scaled estimator, thereby eliminating the need to consistently estimate the asymptotic variance to obtain a CI. This is desirable since estimating the asymptotic variance in steady-state simulations presents nontrivial challenges. Difficulties also arise in estimating the asymptotic variance of a quantile estimator. We show that STS methods can be used to build CIs for a quantile for the case of crude Monte Carlo (i.e., no variance reduction) with independent and identically distributed outputs. We present numerical results comparing CIs for quantiles using STS to other procedures.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
