The probability density function for the sample serial correlation coefficient r can be approximated byf(r) = (β(½, ½(T + 1)))−1(1 − r2)½(T− 1)(1+ c2 − 2cr)−½(T), whereβ is the Beta function, T= n− 2, c = ρ − [(1 + ρ)/(n − 3)], n is the number of observations, and ρ is the population lag one serial correlation. This distribution is derived from a large Monte Carlo study at points between ρ= −0.9 and ρ = 0.9 and for n =10, 20, and 30.
Additional publication details
|Publication Subtype||Journal Article|
|Title||Approximate sampling distribution of the serial correlation coefficient for small samples|
|Series title||Water Resources Research|
|Publisher||American Geophysical Union|