On Bartlett's test for correlation between time series
Kybernetika (1998)
- Volume: 34, Issue: 5, page [545]-554
- ISSN: 0023-5954
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topAnděl, 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
top- Anděl J., Modern trends in multivariate time-series analysis, Math. Operationsforsch. Statist., Ser Zbl0379.62075
- Anděl J., Statistische Analyse von Zeitreihe
- Bartlett M. S., Some aspects of the time–correlation problem in regard to tests of significance, J. Roy Zbl0012.11401
- Goodman L. A., Grunfeld Y., Some nonparametric tests for comovements between time series, J. Amer. Statist Zbl0108.15602
- Haugh L. D., 10.1080/01621459.1976.10480353, J. Amer. Statist. Assoc. 71 (1976), 378–385 (1976) Zbl0337.62061MR0418379DOI10.1080/01621459.1976.10480353
- McGregor J. R., The approximate distribution of the correlation between two stationary linear Markov serie
- 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
- Nakamura A. O., Nakamura M., Orcutt G. H., Testing for relationships between time series, J. Amer. Statist Zbl0329.62070
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