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Indirect cycle time quantile estimation using the Cornish–Fisher expansion

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  • Jennifer Bekki
  • John Fowler
  • Gerald Mackulak
  • Barry Nelson

Abstract

This paper proposes a technique for estimating steady-state quantiles from discrete-event simulation models, with particular attention paid to cycle time quantiles of manufacturing systems. The technique is based on the Cornish–Fisher expansion, justified through an extensive empirical study, and is supported with mathematical analysis. It is shown that the technique provides precise and accurate estimates for the most commonly estimated quantiles with minimal data storage and low computational requirements.

Suggested Citation

  • Jennifer Bekki & John Fowler & Gerald Mackulak & Barry Nelson, 2010. "Indirect cycle time quantile estimation using the Cornish–Fisher expansion," IISE Transactions, Taylor & Francis Journals, vol. 42(1), pages 31-44.
    • Handle: RePEc:taf:uiiexx:v:42:y:2010:i:1:p:31-44
    DOI: 10.1080/07408170903019135
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    Cited by:

    1. Christos Alexopoulos & David Goldsman & Anup C. Mokashi & Kai-Wen Tien & James R. Wilson, 2019. "Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations," Operations Research, INFORMS, vol. 67(4), pages 1162-1183, July.
    2. Demet Batur & F. Fred Choobineh, 2021. "Selecting the Best Alternative Based on Its Quantile," INFORMS Journal on Computing, INFORMS, vol. 33(2), pages 657-671, May.

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