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Approximate sampling distribution of the serial correlation coefficient for small samples

Water Resources Research

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https://doi.org/10.1029/WR019i002p00579

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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