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Kybernetika 34(5):545-554, 1998.

On Bartlett's Test for Correlation Between Time Series.

Jiří Anděl and Jaromír Antoch


Abstract:

An explicit formula for the correlation coefficient in a two-dimensional AR(1) process is derived. Approximate critical values for the correlation coefficient between two one-dimensional AR(1) processes are tabulated. They are based on Bartlett's approximation and on an asymptotic distribution derived by McGregor. The results are compared with critical values obtained from a simulation study.


AMS: 62M;


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BIB TeX

@article{kyb:1998:5:545-554,

author = {And\v{e}l, Ji\v{r}\'{\i} and Antoch, Jarom\'\i{}r },

title = {On Bartlett's Test for Correlation Between Time Series.},

journal = {Kybernetika},

volume = {34},

year = {1998},

number = {5},

pages = {545-554}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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