Real-time high percentile tracking of quasi-exponential delays

Abstract

In many applications certain parameters of a system should be set based on some large percentiles of a delay random variable, for which the characteristics may not be known, or may change slowly with time. Assuming that sample values of delays are available sequentially, we obtain a simple algorithm to track two key statistical characteristics of the delay. Any high percentile then may be approximated as a simple linear function of these parameters. The approach is based on a ″quasi-exponential″ assumption concerning the delays.