A test of location for data with slowly decaying serial correlations

Beran, Jan

A test of location for data with slowly decaying serial correlations

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Date

1989

Publication type

Journal article

Published in

Biometrika ; 76 (1989), 2. - pp. 261-269. - ISSN 0006-3444

Abstract

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.

Subject (DDC)

510 Mathematics

Keywords

Arithmetic mean,Confidence interval,Fractional Gaussian noise,Long-range dependence,Self-similar,t test

Cite This

ISO 690

BERAN, Jan, 1989. A test of location for data with slowly decaying serial correlations. In: Biometrika. 76(2), pp. 261-269. ISSN 0006-3444. Available under: doi: 10.1093/biomet/76.2.261

BibTex

@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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