Cramer-von Mises Variance Estimators for Simulations

Proceedings of the 1991 Winter Simulation Conference Barry L. Nelson, W. David Kelton, Gordon M. Clark (eds.)We study estimators for the variance parameter u 2 of a stationary process. The estimators are based on weighted Cramer-van Mises statistics formed from the standardized time series of the process. Certain weightings yield estimators which are "first-order unbiased" for u2 and which have low variance. We also show how the Cramer-von Mises estimators are related to the standardized time series area estimator; we use this relationship to establish additional estimators for u2