An improved standardized time series Durbin-Watson variance estimator for steady-state simulation

Authors:
Demet Batur;David Goldsman;Seong-Hee Kim
Affiliations:
Industrial and Management Systems Engineering, University of Nebraska-Lincoln, Lincoln, NE 68588, USA;H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332, USA;H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332, USA
Venue:
Operations Research Letters
Year:
2009

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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 Cramer-von Mises estimators. Various examples demonstrate its efficiency in terms of bias and variance compared to other estimators.