1 February 2018
Mathematics Today -Southend on Sea-
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.
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