Combining standardized time series area and Cramér–von Mises variance estimators

David Goldsman, Keebom Kang, Seong‐Hee Kim, Andrew F. Seila and Gamze Tokol

Naval Research Logistics (NRL), 2007, vol. 54, issue 4, 384-396

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.© 2007 Wiley Periodicals, Inc. Naval Research Logistics, 2007

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navres:v:54:y:2007:i:4:p:384-396

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