| Title:
|
On Bartlett's test for correlation between time series (English) |
| Author:
|
Anděl, Jiří |
| Author:
|
Antoch, Jaromír |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
34 |
| Issue:
|
5 |
| Year:
|
1998 |
| Pages:
|
[545]-554 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
correlation coefficients |
| Keyword:
|
Bartlett approximations |
| Keyword:
|
simulation studies |
| MSC:
|
62H20 |
| MSC:
|
62M10 |
| MSC:
|
62Q05 |
| MSC:
|
65C60 |
| idZBL:
|
Zbl 1274.62569 |
| idMR:
|
MR1663732 |
| . |
| Date available:
|
2009-09-24T19:20:21Z |
| Last updated:
|
2015-03-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135242 |
| . |
| Reference:
|
[1] Anděl J.: Modern trends in multivariate time-series analysis.Math. Operationsforsch. Statist., Ser Zbl 0379.62075 |
| Reference:
|
[2] Anděl J.: Statistische Analyse von Zeitreihe. |
| Reference:
|
[3] Bartlett M. S.: Some aspects of the time–correlation problem in regard to tests of significance.J. Roy Zbl 0012.11401 |
| Reference:
|
[5] Goodman L. A., Grunfeld Y.: Some nonparametric tests for comovements between time series.J. Amer. Statist Zbl 0108.15602 |
| Reference:
|
[8] Haugh L. D.: Checking the independence of two covariance stationary time series: a univariate residual cross–correlation approach.J. Amer. Statist. Assoc. 71 (1976), 378–385 Zbl 0337.62061, MR 0418379, 10.1080/01621459.1976.10480353 |
| Reference:
|
[9] McGregor J. R.: The approximate distribution of the correlation between two stationary linear Markov serie. |
| Reference:
|
[10] McGregor J. R., Bielenstein U. M.: The approximate distribution of the correlation between two stationary linear Markov series II.Biometrika 52 (1965), 301–302 Zbl 0143.40601, MR 0207165 |
| Reference:
|
[12] Nakamura A. O., Nakamura M., Orcutt G. H.: Testing for relationships between time series.J. Amer. Statist Zbl 0329.62070 |
| . |
