Peiris, Shelton ; Rao, C. R. (2004) A note on testing for serial correlation in large number of small samples using tail probability approximations Communications in Statistics - Theory and Methods, 33 (8). pp. 1767-1777. ISSN 0361-0926
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Official URL: http://www.tandfonline.com/doi/abs/10.1081/STA-120...
Related URL: http://dx.doi.org/10.1081/STA-120037440
Abstract
A method of testing for serial correlation in large number of independent replications from short, first order autoregressive type time series with zero mean is considered. We use an approach via the Edgeworth expansion to compute the tail probability in order to test the null hypothesis of zero serial correlation at lag 1. Approximate tail probabilities are computed using our results to justify the theory.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Time Series; Zero Mean; Serial Correlation; Repeated Measurements; Tail Probability; Edgeworth Expansion; Autoregression; Cumulants; Moments |
| ID Code: | 71911 |
| Deposited On: | 28 Nov 2011 04:22 |
| Last Modified: | 28 Nov 2011 04:22 |
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