Publikation: A test of location for data with slowly decaying serial correlations
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1989
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Biometrika. 1989, 76(2), pp. 261-269. ISSN 0006-3444. Available under: doi: 10.1093/biomet/76.2.261
Zusammenfassung
Slowly decaying serial correlations have, if ignored, disastrous effects on classical tests and confidence intervals. We propose a modified t test for the location parameter which takes into account such correlations. An approximate distribution function of the test statistic is given under the assumption of fractional Gaussian noise. The results are generalized to prediction intervals for a future average. An example is given to illustrate the methods.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
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Arithmetic mean, Confidence interval, Fractional Gaussian noise, Long-range dependence, Self-similar, t test
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BERAN, Jan, 1989. A test of location for data with slowly decaying serial correlations. In: Biometrika. 1989, 76(2), pp. 261-269. ISSN 0006-3444. Available under: doi: 10.1093/biomet/76.2.261BibTex
@article{Beran1989locat-18159, year={1989}, doi={10.1093/biomet/76.2.261}, title={A test of location for data with slowly decaying serial correlations}, number={2}, volume={76}, issn={0006-3444}, journal={Biometrika}, pages={261--269}, author={Beran, Jan} }
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