Combining Standardized Time Series Area and Cramér–von Mises Variance Estimators
dc.contributor.author | Goldsman, David | |
dc.contributor.author | Kang, Keebom | |
dc.contributor.author | Kim, Seong-Hee | |
dc.contributor.author | Seila, Andrew F. | |
dc.contributor.author | Tokol, Gamze | |
dc.date.accessioned | 2015-08-19T21:39:32Z | |
dc.date.available | 2015-08-19T21:39:32Z | |
dc.date.issued | 2006 | |
dc.identifier.citation | Naval Research Logistics, Vol. 54 (2007) | en_US |
dc.identifier.uri | https://hdl.handle.net/10945/46102 | |
dc.description.abstract | 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 the first. The main derivations yield analytical expressions for the bias and variance of the new estimators. These results show that the new estimators often perform better than the pure area, pure CvM, and benchmark nonoverlapping and overlapping batch means estimators, especially in terms of variance and mean squared error. We also give exact and Monte Carlo examples illustrating our findings. | en_US |
dc.description.sponsorship | This work was partially supported by National Science Foundation Grant DMI-0400260. | en_US |
dc.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. | en_US |
dc.title | Combining Standardized Time Series Area and Cramér–von Mises Variance Estimators | en_US |
dc.type | Article | en_US |
dc.contributor.department | Graduate School of Business & Public Policy (GSBPP) | en_US |
dc.subject.author | simulation | en_US |
dc.subject.author | stationary process | en_US |
dc.subject.author | variance estimation | en_US |
dc.subject.author | standardized time series | en_US |
dc.subject.author | area estimator | en_US |
dc.subject.author | Cramér–von Mises estimator | en_US |
dc.subject.author | Durbin–Watson estimator | en_US |
dc.subject.author | batch means estimator | en_US |