An improved standardized time series Durbin-Watson variance estimator for steady-state simulation
نویسندگان
چکیده
We discuss an improved jackknifed Durbin–Watson estimator for the variance parameter from a steady-state simulation. The estimator is based on a combination of standardized time series area and Cramér–von Mises estimators. Various examples demonstrate its efficiency in terms of bias and variance compared to other estimators.
منابع مشابه
Combining Standardized Time Series Area and Cramér–von Mises Variance Estimators
We propose three related estimators for the variance parameter arising from a steady-state simulation process. All are based on combinations of standardized-time-series area and Cramér–von Mises (CvM) estimators. The first is a straightforward linear combination of the area and CvM estimators; the second resembles a Durbin–Watson statistic; and the third is related to a jackknifed version of th...
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عنوان ژورنال:
- Oper. Res. Lett.
دوره 37 شماره
صفحات -
تاریخ انتشار 2009