On Bartlett's test for correlation between time series

Jiří Anděl; Jaromír Antoch

Kybernetika (1998)

  • Volume: 34, Issue: 5, page [545]-554
  • ISSN: 0023-5954

Abstract

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An explicit formula for the correlation coefficient in a two-dimensional AR(1) process is derived. Approximate critical values for the correlation coefficient between two one-dimensional AR(1) processes are tabulated. They are based on Bartlett’s approximation and on an asymptotic distribution derived by McGregor. The results are compared with critical values obtained from a simulation study.

How to cite

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Anděl, Jiří, and Antoch, Jaromír. "On Bartlett's test for correlation between time series." Kybernetika 34.5 (1998): [545]-554. <http://eudml.org/doc/33387>.

@article{Anděl1998,
abstract = {An explicit formula for the correlation coefficient in a two-dimensional AR(1) process is derived. Approximate critical values for the correlation coefficient between two one-dimensional AR(1) processes are tabulated. They are based on Bartlett’s approximation and on an asymptotic distribution derived by McGregor. The results are compared with critical values obtained from a simulation study.},
author = {Anděl, Jiří, Antoch, Jaromír},
journal = {Kybernetika},
keywords = {correlation coefficients; Bartlett approximations; simulation studies; correlation coefficients; Bartlett approximations; simulation studies},
language = {eng},
number = {5},
pages = {[545]-554},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On Bartlett's test for correlation between time series},
url = {http://eudml.org/doc/33387},
volume = {34},
year = {1998},
}

TY - JOUR
AU - Anděl, Jiří
AU - Antoch, Jaromír
TI - On Bartlett's test for correlation between time series
JO - Kybernetika
PY - 1998
PB - Institute of Information Theory and Automation AS CR
VL - 34
IS - 5
SP - [545]
EP - 554
AB - An explicit formula for the correlation coefficient in a two-dimensional AR(1) process is derived. Approximate critical values for the correlation coefficient between two one-dimensional AR(1) processes are tabulated. They are based on Bartlett’s approximation and on an asymptotic distribution derived by McGregor. The results are compared with critical values obtained from a simulation study.
LA - eng
KW - correlation coefficients; Bartlett approximations; simulation studies; correlation coefficients; Bartlett approximations; simulation studies
UR - http://eudml.org/doc/33387
ER -

References

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  1. Anděl J., Modern trends in multivariate time-series analysis, Math. Operationsforsch. Statist., Ser Zbl0379.62075
  2. Anděl J., Statistische Analyse von Zeitreihe 
  3. Bartlett M. S., Some aspects of the time–correlation problem in regard to tests of significance, J. Roy Zbl0012.11401
  4. Goodman L. A., Grunfeld Y., Some nonparametric tests for comovements between time series, J. Amer. Statist Zbl0108.15602
  5. Haugh L. D., 10.1080/01621459.1976.10480353, J. Amer. Statist. Assoc. 71 (1976), 378–385 (1976) Zbl0337.62061MR0418379DOI10.1080/01621459.1976.10480353
  6. McGregor J. R., The approximate distribution of the correlation between two stationary linear Markov serie 
  7. McGregor J. R., Bielenstein U. M., The approximate distribution of the correlation between two stationary linear Markov series II, Biometrika 52 (1965), 301–302 (1965) Zbl0143.40601MR0207165
  8. Nakamura A. O., Nakamura M., Orcutt G. H., Testing for relationships between time series, J. Amer. Statist Zbl0329.62070

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