On Bartlett's test for correlation between time series.

zbMATH Open1274.62569MaRDI QIDQ4909820FDOQ4909820

Authors: Jiří Anděl, Jaromír Antoch 

Publication date: 21 March 2013

Full work available at URL: http://www.kybernetika.cz/content/1998/5

Recommendations

• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.
• A simple form of Bartlett's formula for autoregressive processes
• Bartlett's formula for a general class of nonlinear processes
• Sampled autocovariance and autocorrelation results for linear time processes
• Test for the equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated

zbMATH Keywords

correlation coefficientssimulation studiesBartlett approximations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical tables (62Q05)

Cites Work

• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Some Aspects of the Time-Correlation Problem in Regard to Tests of Significance
• Testing for Relationships Between Time Series
• Some Nonparametric Tests for Comovements Between Time Series
• Title not available (Why is that?)
• The approximate distribution of the correlation between two stationary linear Markov series
• Modern trends in multivariate time-series analysis²

This page was built for publication: On Bartlett's test for correlation between time series.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4909820)