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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Alexopoulos, Christos Goldsman, David Mokashi, Anup Rong Nie Qing Sun Kai-Wen Tien Wilson, James R. |
| Copyright Year | 2014 |
| Description | Author affiliation: SAS Institute Inc., 100 SAS Campus Drive, Cary, NC 27513-8617, USA (Mokashi, Anup) || H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, 30332-0205, USA (Alexopoulos, Christos; Goldsman, David) || Edward P. Fitts Department of Industrial and Systems Engineering, North Carolina State University, Raleigh, 27695-7906, USA (Rong Nie; Qing Sun; Kai-Wen Tien; Wilson, James R.) |
| Abstract | Sequest is a fully sequential procedure that delivers improved point and confidence-interval (CI) estimators for a designated steady-state quantile by exploiting a combination of ideas from batching and sectioning. Sequest incorporates effective methods to do the following: (a) eliminate bias in the sectioning-based point estimator that is caused by initialization of the simulation or an inadequate simulation run length (sample size); and (b) adjust the CI half-length for the effects of skewness or correlation in the batching-based point estimators of the designated quantile. Sequest delivers a CI designed to satisfy user-specified requirements concerning both the CI's coverage probability and its absolute or relative precision. We found that Sequest exhibited good small- and large-sample properties in a preliminary evaluation of the procedure's performance on a suite of test problems that includes some problems designed to “stress test” the procedure. |
| Starting Page | 662 |
| Ending Page | 673 |
| File Size | 193099 |
| Page Count | 12 |
| File Format | |
| e-ISBN | 9781479974863 |
| DOI | 10.1109/WSC.2014.7019930 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2014-12-07 |
| Publisher Place | USA |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Steady-state Modeling Sun Correlation Portfolios Estimation |
| Content Type | Text |
| Resource Type | Article |
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