An improved standardized time series Durbin-Watson variance estimator for steady-state simulation
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Publication:833606
DOI10.1016/j.orl.2009.01.014zbMath1167.62456MaRDI QIDQ833606
David Goldsman, Demet Batur, Seong-Hee Kim
Publication date: 14 August 2009
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2009.01.014
simulation; stationary process; variance estimation; batched estimators; Durbin-Watson estimator; standardized time series
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
62M09: Non-Markovian processes: estimation
62G09: Nonparametric statistical resampling methods
65C05: Monte Carlo methods
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