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December, 1957 A $t$-Test for the Serial Correlation Coefficient
John S. White
Ann. Math. Statist. 28(4): 1046-1048 (December, 1957). DOI: 10.1214/aoms/1177706811


Let $r$ be the sample serial correlation coefficient computed from a sample of size $N$ drawn from a serially correlated process with parameter $\rho$. It is shown that the statistic $$t = \frac{(r - \rho) \sqrt{N + 1}}{\sqrt{1 - r^2}}$$ is approximately distributed as Student's $t$ with $N + 1$ degrees of freedom.


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John S. White. "A $t$-Test for the Serial Correlation Coefficient." Ann. Math. Statist. 28 (4) 1046 - 1048, December, 1957.


Published: December, 1957
First available in Project Euclid: 27 April 2007

zbMATH: 0082.35203
MathSciNet: MR91581
Digital Object Identifier: 10.1214/aoms/1177706811

Rights: Copyright © 1957 Institute of Mathematical Statistics

Vol.28 • No. 4 • December, 1957
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