Steady State Quantile Estimation

Steady state simulation is used to study long-run behavior. Usually only the expected value of the steady state probability distribution function is estimated. In many cases quantiles of this distribution are of higher interest. In this paper a new usage of quantile estimators is proposed, which is derived from mean value analysis and is based on multiple independent replications. The advantage in using multiple independent replications is discussed, especially their ability to detect the steady state phase of quantiles.