The Sampling Distribution of the Serial Correlation Coefficient

DOI10.1080/01966324.1995.10737387zbMATH Open0838.62014OpenAlexW2073592774WikidataQ58189847 ScholiaQ58189847MaRDI QIDQ4862769FDOQ4862769

Authors: Serge B. Provost, Edmund M. Rudiuk 

Publication date: 4 June 1996

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.1995.10737387

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zbMATH Keywords

momentstrigonometric functionscumulantsMonte Carlo studiesPearson curvesapproximate distributionserial correlation coefficientGaussian white-noise processlag-k serial covariance

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Inference from stochastic processes (62M99) Monte Carlo methods (65C05)

Cites Work

• Linear Statistical Inference and its Applications
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• Generalized hypergeometric functions with applications in statistics and physical sciences
• Systems of Frequency Curves
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• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• ALL THE GAUSSIAN WHITE NOISE SERIAL COVARIANCE MOMENTS TO ORDER FOUR
• Some test statistics for the structural coefficients of the multivariate linear functional relationship model
• A note on the expectation of products of autocorrelations

Cited In (15)

• Approximate distributions for the various serial correlograms
• The null distribution of sample serial correlation coefficient
• The exact distribution of indefinite quadratic forms in noncentral normal vectors
• On the distribution of the sample autocorrelation coefficients
• An approximation to the distribution of the autocorrelation coefficient
• Codispersion coefficients for spatial and temporal series
• Title not available (Why is that?)
• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• Data-driven portmanteau tests for time series
• EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
• Distribution of sample mean when observations are correlated
• The probability content of cones in isotropic random fields
• On the distribution of linear combinations of the components of a Dirichlet random vector
• Saddlepoint approximations to the density and the distribution functions of linear combinations of ratios of partial sums
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTIONS OF SERIAL CORRELATIONS

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