Precise Simulated Percentiles in a Pinch

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.

Key Words:

• Critical values
• Monte Carlo studies
• Order statistics