How to estimate quantiles easily and reliably

Author: 

Briggs, K
Ying, F

Publication Date: 

1 February 2018

Journal: 

Mathematics Today -Southend on Sea-

Last Updated: 

2019-03-28T00:33:20.81+00:00

Issue: 

February 2018

page: 

26-29

abstract: 

We describe a practical recipe for determining when to stop a simulation which is intended to estimate quantiles of the unknown distribution of a real-valued random variable. The ability to reliably estimate quantiles translates into an ability to estimate cumulative distribution functions. The description focusses on the practical implementation of the method, and in particular on stopping criteria. Both authors have found the method useful in their day-to-day work.

Symplectic id: 

796234

Submitted to ORA: 

Submitted

Publication Type: 

14