Table 2.

Mean integrated squared bias (Bias²), mean integrated variance (VAR), mean integrated squared error (MISE) over 1000 simulations for different variance estimators η̂²(x) and ${\widehat{\sigma }}_O^2(x)$. Seven different correlation schemes are simulated: ρ = −0.4, ρ = −0.2, ρ = 0, ρ = 0.2, ρ = 0.4, ρ = 0.6, and ρ = 0.8. All quantities are multiplied by 1000.

	ρ =	−0.4	−0.2	0	0.2	0.4	0.6	0.8
Bias2	η̂2(x)	5.93	1.48	0.00	1.48	5.91	13.31	23.67
	${\widehat{\sigma }}_A^2(x)$	0.00	0.00	0.00	0.00	0.00	0.00	0.00
	${\widehat{\sigma }}_O^2(x)$	0.00	0.00	0.00	0.00	0.00	0.00	0.01
VAR	η̂2(x)	0.44	0.33	0.24	0.16	0.10	0.05	0.02
	${\widehat{\sigma }}_A^2(x)$	0.27	0.25	0.24	0.22	0.20	0.19	0.20
	${\widehat{\sigma }}_O^2(x)$	0.27	0.25	0.24	0.22	0.20	0.18	0.23
MISE	η̂2(x)	6.37	1.81	0.24	1.64	6.01	13.37	23.69
	${\widehat{\sigma }}_A^2(x)$	0.27	0.25	0.24	0.22	0.21	0.19	0.20
	${\widehat{\sigma }}_O^2(x)$	0.27	0.25	0.24	0.22	0.20	0.18	0.24