The exact distributions of the serial correlation coefficients and an evaluation on some approximate distributions

DOI10.1080/00949657708810145zbMath0364.62060MaRDI QIDQ4139503

Heather Goldsmith

Publication date: 1977

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949657708810145

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

62Q05: Statistical tables

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HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES, Some robust exact results on sample autocorrelations and tests of randomness, Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties

Cites Work

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• THE APPROXIMATE DISTRIBUTION OF SERIAL CORRELATION COEFFICIENTS
• Computing the distribution of quadratic forms in normal variables
• Distribution of the Serial Correlation Coefficient in a Circularly Correlated Universe
• Distribution of the Serial Correlation Coefficient
• Serial Correlation and Quadratic Forms in Normal Variables
• Further Contributions to the Problem of Serial Correlation
• On the Distribution of the Serial Correlation Coefficient
• Note on the Distribution of the Serial Correlation Coefficient