Article ID Journal Published Year Pages File Type
1143119 Operations Research Letters 2009 5 Pages PDF
Abstract

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.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Preview
An improved standardized time series Durbin–Watson variance estimator for steady-state simulation
Authors
, , ,