Distribution of the Serial Correlation Coefficient in a Circularly Correlated Universe
Leipnik, R. B.
Ann. Math. Statist., Tome 18 (1947) no. 4, p. 80-87 / Harvested from Project Euclid
It is desired to find an approximate distribution of simple form for the statistic $\bar r = \frac{x_1x_2 + \cdots + x_Tx_1} {x_1^2 + \cdots + x_T^2}$ ($\bar r$ is an estimate of the serial correlation coefficient $\rho$ in a circular universe) in the case that $\rho \neq O$ in the universe. Such a distribution is obtained by smoothing the joint characteristic function of the numerator and denominator of the expression for $\bar r$. The first two moments are calculated; from these $\bar r$ is seen to be a consistent estimate of $\rho$. A graph of this distribution for sample size $T = 20$ and various values of $\rho$ is given. In addition, an approximate distribution for $p = x^2_1 + \cdots + x^2_T$ is derived which reduces to the exact $(\chi^2-)$ distribution if $\rho = 0$. From a formula which yields all moments, it is concluded that, at least up to the degree of approximation attained, $p/T$ is an unbiased and consistent extimate of $\sigma^2$.
Publié le : 1947-03-14
Classification: 
@article{1177730494,
     author = {Leipnik, R. B.},
     title = {Distribution of the Serial Correlation Coefficient in a Circularly Correlated Universe},
     journal = {Ann. Math. Statist.},
     volume = {18},
     number = {4},
     year = {1947},
     pages = { 80-87},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177730494}
}
Leipnik, R. B. Distribution of the Serial Correlation Coefficient in a Circularly Correlated Universe. Ann. Math. Statist., Tome 18 (1947) no. 4, pp.  80-87. http://gdmltest.u-ga.fr/item/1177730494/