Approximate sampling distribution of the serial correlation coefficient for small samples

Water Resources Research
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Abstract

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 type Article
Publication Subtype Journal Article
Title Approximate sampling distribution of the serial correlation coefficient for small samples
Series title Water Resources Research
DOI 10.1029/WR019i002p00579
Volume 19
Issue 2
Year Published 1983
Language English
Publisher American Geophysical Union
Description 4 p.
First page 579
Last page 582