Geodesic
On Bartlett's test for correlation between time series
Kybernetika, Tome 34 (1998) no. 5, p. [545]

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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 
@article{KYB_1998__34_5_a3,
     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},
     pages = {[545]},
     publisher = {mathdoc},
     volume = {34},
     number = {5},
     year = {1998},
     mrnumber = {1663732},
     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, p. [545]. http://geodesic.mathdoc.fr/item/KYB_1998__34_5_a3/