Precise Simulated Percentiles in a Pinch |
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Authors: | Charles L Dunn |
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Institution: | Department of Mathematics and Statistics , Miami University , Oxford , OH , 45056 , USA |
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Abstract: | A percentile point simulation algorithm is presented. The algorithm is useful when computer storage and time considerations are at a premium. The algorithm employs various time- and storage-saving ideas, including a “pinching” mechanism that reduces the proportion of simulated values stored as the number of iterations is increased. Algorithm output includes a measure of precision as well as the simulated percentile point. The simulation can be stopped when the desired degree of precision has been attained. |
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Keywords: | Critical values Monte Carlo studies Order statistics |
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