A $t$-Test for the Serial Correlation Coefficient
White, John S.
Ann. Math. Statist., Tome 28 (1957) no. 4, p. 1046-1048 / Harvested from Project Euclid
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Let $r$ be the sample serial correlation coefficient computed from a sample of size $N$ drawn from a serially correlated process with parameter $\rho$. It is shown that the statistic $$t = \frac{(r - \rho) \sqrt{N + 1}}{\sqrt{1 - r^2}}$$ is approximately distributed as Student's $t$ with $N + 1$ degrees of freedom.
Publié le : 1957-12-14
Classification:  
@article{1177706811,
     author = {White, John S.},
     title = {A $t$-Test for the Serial Correlation Coefficient},
     journal = {Ann. Math. Statist.},
     volume = {28},
     number = {4},
     year = {1957},
     pages = { 1046-1048},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177706811}
}

White, John S. A $t$-Test for the Serial Correlation Coefficient. Ann. Math. Statist., Tome 28 (1957) no. 4, pp.  1046-1048. http://gdmltest.u-ga.fr/item/1177706811/