Indirect cycle time quantile estimation using the Cornish–Fisher expansion

Bekki, Jennifer M. and Fowler, John W. and Mackulak, Gerald T. and Nelson, Barry L. (2009) Indirect cycle time quantile estimation using the Cornish–Fisher expansion. IIE Transactions, 42 (1). pp. 31-44. ISSN 0740-817X

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.