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March, 1951 A Note on the Test of Serial Correlation Coefficients
Masami Ogawara
Ann. Math. Statist. 22(1): 115-118 (March, 1951). DOI: 10.1214/aoms/1177729700


In this note the author points out that in the case of stationary Guassian Markov process, i.e., autoregressive stochastic process, we can test the serial correlation coefficients by a method based on normal regression theory. Particularly, in the case of simple Markov process, we can find the confidence limits for its autocorrelation coefficient. In this method, so far as random variables are concerned, not all the information in the original data is used, with a consequence reduction of degrees of freedom. However, the other part of information is introduced as parameters in the distribution functions of random variables and in the statistic useful for tests.


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Masami Ogawara. "A Note on the Test of Serial Correlation Coefficients." Ann. Math. Statist. 22 (1) 115 - 118, March, 1951.


Published: March, 1951
First available in Project Euclid: 28 April 2007

zbMATH: 0054.06103
MathSciNet: MR40635
Digital Object Identifier: 10.1214/aoms/1177729700

Rights: Copyright © 1951 Institute of Mathematical Statistics

Vol.22 • No. 1 • March, 1951
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