Approximate sampling distribution of the serial correlation coefficient for small samples
Water Resources Research
By: Gary D. Tasker
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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.
| 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 |
| Publication Date | July 09, 2010 |
| Year Published | 1983 |
| Language | English |
| Publisher | American Geophysical Union |
| Description | 4 p. |
| First page | 579 |
| Last page | 582 |