Is a Small Monte Carlo Analysis a Good Analysis? Checking the Size, Power and Consistency of a Simulation-Based Test
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Statistical Papers 43(4) : 567-577 (2002)
In this paper we study the relationship between the number of replications and the accuracy of the estimated quantiles of a distribution obtained by simulation. A method for testing hypotheses on the quantiles of a theoretical distribution using the simulated distribution is proposed, as well as a method to check the hypothesis of consistency of a test.