Run Length Control For Simultaneous Estimation Of Several Percentiles In Dependent Sequences

: Percentiles are convenient indices to describe simulation output data. A few percentiles are more informative than the mean and the standard deviation. However, percentiles are very seldom used in practice. The reason has been that percentile estimation is regarded as a cumbersome task. All previously reported methods estimate only a single percentile. In addition, they have been methods of fixed, predefined, run length. The method introduced in this paper does not have these limitations. It estimates several percentiles simultaneously without storing and sorting the output sequence. It also has a run length control mechanism, which terminates the simulation run, when the estimates are accurate enough. The relative half-width criterion, which is commonly used to control the accuracy of the simulated mean, is generalized to control the accuracy of multidimensional estimates. The proposed method dynamically approximates the inverse of the empirical cumulative distribution function by a..