Title
On the validity of the batch quantile method for Markov chains
Date Issued
01 May 2010
Access level
metadata only access
Resource Type
journal article
Author(s)
Abstract
We discuss the asymptotic validity of confidence intervals for quantiles of performance variables when simulating a Markov chain. We show that a batch quantile methodology (similar to the batch means method) can be applied to obtain confidence intervals that are asymptotically valid under mild assumptions. © 2010 Elsevier B.V. All rights reserved.
Start page
223
End page
226
Volume
38
Issue
3
Language
English
OCDE Knowledge area
Ingeniería industrial
Subjects
Scopus EID
2-s2.0-77949915407
Source
Operations Research Letters
ISSN of the container
01676377
Sources of information:
Directorio de Producción Científica
Scopus