Geodesic
On Bartlett's test for correlation between time series
Kybernetika, Tome 34 (1998) no. 5, pp. 545-554 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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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.
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.
Classification : 62H20, 62M10, 62Q05, 65C60
Keywords: correlation coefficients; Bartlett approximations; simulation studies 
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     title = {On {Bartlett's} test for correlation between time series},
     journal = {Kybernetika},
     pages = {545--554},
     year = {1998},
     volume = {34},
     number = {5},
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     zbl = {1274.62569},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_1998_34_5_a3/}
}
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Anděl, Jiří; Antoch, Jaromír. On Bartlett's test for correlation between time series. Kybernetika, Tome 34 (1998) no. 5, pp. 545-554. http://geodesic.mathdoc.fr/item/KYB_1998_34_5_a3/

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