✦ LIBER ✦
An improved standardized time series Durbin–Watson variance estimator for steady-state simulation
✍ Scribed by Demet Batur; David Goldsman; Seong-Hee Kim
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 414 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0167-6377
No coin nor oath required. For personal study only.
✦ Synopsis
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.