{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,1,2]],"date-time":"2024-01-02T14:06:18Z","timestamp":1704204378384},"reference-count":23,"publisher":"Institute for Operations Research and the Management Sciences (INFORMS)","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Operations Research"],"published-print":{"date-parts":[[1999,4]]},"abstract":"<jats:p> We study estimators for the variance parameter \u03c3<jats:sup>2<\/jats:sup> of a stationary process. The estimators are based on weighted Cram\u00e9r-von Mises statistics, and certain weightings yield estimators that are \u201cfirst-order unbiased\u201d for \u03c3<jats:sup>2<\/jats:sup>. We derive an expression for the asymptotic variance of the new estimators; this expression is then used to obtain the first-order unbiased estimator having the smallest variance among fixed-degree polynomial weighting functions. Our work is based on asymptotic theory; however, we present exact and empirical examples to demonstrate the new estimators' small-sample robustness. We use a single batch of observations to derive the estimators' asymptotic properties, and then we compare the new estimators among one another. In real-life applications, one would use more than one batch; we indicate how this generalization can be carried out. <\/jats:p>","DOI":"10.1287\/opre.47.2.299","type":"journal-article","created":{"date-parts":[[2008,11,8]],"date-time":"2008-11-08T13:45:52Z","timestamp":1226151952000},"page":"299-309","source":"Crossref","is-referenced-by-count":34,"title":["Cram\u00e9r-von Mises Variance Estimators for Simulations"],"prefix":"10.1287","volume":"47","author":[{"given":"David","family":"Goldsman","sequence":"first","affiliation":[{"name":"Georgia Institute of Technology, Atlanta, Georgia"}]},{"given":"Keebom","family":"Kang","sequence":"additional","affiliation":[{"name":"Naval Postgraduate School, Monterey, California"}]},{"given":"Andrew F.","family":"Seila","sequence":"additional","affiliation":[{"name":"University of Georgia, Athens, Georgia"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177729437"},{"key":"B2","volume-title":"Convergence of Probability Measures","author":"Billingsley P.","year":"1968"},{"key":"B3","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4419-8724-2"},{"key":"B4","first-page":"141","volume":"11","author":"Cram\u00e9r H.","year":"1928","journal-title":"Skand. 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