A Batching Approach to Quantile Estimation in Regenerative Simulations
提出一种批分位数方法，用于再生模拟中的分位数估计，该估计量一致且渐近正态，易于实现且无需数据范围先验知识，经验研究表明使用50个或更多周期的批次时置信区间覆盖充分。
This paper presents a new method, called the batch quantile method, for estimating quantiles in regenerative simulations. The quantile estimator is consistent and asymptotically normal, and the method can be easily implemented and does not require prior knowledge of the range of values the data will assume. Empirical studies show adequate coverage of confidence intervals when batches of 50 cycles or more are used.