| Article ID: | iaor20102968 |
| Volume: | 37 |
| Issue: | 4 |
| Start Page Number: | 285 |
| End Page Number: | 289 |
| Publication Date: | Jul 2009 |
| Journal: | Operations Research Letters |
| Authors: | Goldsman David, Kim Seong-Hee, Batur Demet |
| Keywords: | statistics: inference |
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.