Report Quantile Std Devs


Key Report Quantile Std Devs in
Model[Simulation] refers to a boolean that controls whether the estimated standard deviations of the requested quantiles in a non-randomized simulation should be also calculated and reported.
This entry is ignored in a randomized simulation, where such estimated standard deviations are always calculated, since the additional computational effort is low.
It is needed though in a standard, non-randomized simulation because then the standard deviation formula involves the density probability function, the construction of which materially slows down the simulation process.
It is a mathematical fact that the estimated p-th quantile is asymptotically normal around the true p-th quantile α with variance equal to p(1-p)/[Nf(α)²] where f(x) is the probability density function of the related random variable and N is the sample size.The standard deviation of the estimated p-th quantile equals the square root of that variance.