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Batur, Demet; Goldsman, David; Kim, Seong-Hee

An improved standardized time series Durbin-Watson variance estimator for steady-state simulation. (English) Zbl 1167.62456

Oper. Res. Lett. 37, No. 4, 285-289 (2009).
Summary: 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.

Cited in 5 Documents

MSC:

62M09 Non-Markovian processes: estimation
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C60 Computational problems in statistics (MSC2010)
62G09 Nonparametric statistical resampling methods
62G05 Nonparametric estimation
65C05 Monte Carlo methods
62G20 Asymptotic properties of nonparametric inference

Keywords:

simulation; stationary process; variance estimation; standardized time series; Durbin-Watson estimator; batched estimators
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Full Text: DOI

References:

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