|
|||||
|
|
An improved standardized time series Durbin–Watson variance estimator for steady-state simulation |
|
| Authors: | Demet Batur David Goldsman Seong-Hee Kim |
| Institution: | aIndustrial and Management Systems Engineering, University of Nebraska-Lincoln, Lincoln, NE 68588, USA;bH. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332, USA |
| 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: | Simulation Stationary process Variance estimation Standardized time series Durbin– Watson estimator Batched estimators |
| 本文献已被 ScienceDirect 等数据库收录！ | |