The Sampling Distribution of the Serial Correlation Coefficient

DOI10.1080/01966324.1995.10737387MaRDI QIDQ4862769zbMATH OpenOpenAlexWikidataFDO

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

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)

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

Cited in

(16)

• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• On the distribution of the sample autocorrelation coefficients
• Approximate distributions for the various serial correlograms
• The null distribution of sample serial correlation coefficient
• Saddlepoint approximations to the density and the distribution functions of linear combinations of ratios of partial sums
• The probability content of cones in isotropic random fields
• Codispersion coefficients for spatial and temporal series
• The exact distribution of indefinite quadratic forms in noncentral normal vectors
• An approximation to the distribution of the autocorrelation coefficient
• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTIONS OF SERIAL CORRELATIONS
• Distribution of sample mean when observations are correlated
• Yule's ``Nonsense correlation: moments and density
• EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
• On the distribution of linear combinations of the components of a Dirichlet random vector
• scientific article; zbMATH DE number 4139169 (Why is no real title available?)
• Data-driven portmanteau tests for time series

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