Cramer-von Mises Variance Estimators for Simulations
inc_1991_0122-ocr.pdf (486.7Kb)Abstract
We study estimators for the variance parameter u 2
of a stationary process. The estimators are based
on weighted Cramer-van Mises statistics formed from
the standardized time series of the process. Certain
weightings yield estimators which are "first-order unbiased"
for u2 and which have low variance. We also
show how the Cramer-von Mises estimators are related
to the standardized time series area estimator;
we use this relationship to establish additional estimators
for u2 .
Description
Proceedings of the 1991 Winter Simulation Conference Barry L. Nelson, W. David Kelton, Gordon M. Clark (eds.)
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.Collections
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