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The distribution of the serial correlation coefficient for a stationary series

Published online by Cambridge University Press:  01 July 2016

John S. White
John S. White*
Affiliation:
(University of Minnesota)
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Abstract

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Type
Ninth Conference on Stochastic Processes and their Applications, Evanston, Illinois, 6–10 August 1979
Information
Advances in Applied Probability , Volume 12 , Issue 2 , June 1980 , pp. 316 - 317
Copyright
Copyright © Applied Probability Trust 1980 

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References

1. Phillips, P. C. B. (1978) Edgeworth and saddlepoint approximations in the first-order noncircular autoregression. Biometrika 65, 91–98.Google Scholar
2. Shenton, L. R. and Johnson, W. L. (1965). Moments of a serial correlation coefficient. J. R. Statist. Soc. B 27, 308–320.Google Scholar
3. White, J. S. (1961) Asymptotic expansions for the mean and variance of the serial correlation coefficient. Biometrika 48, 85–94.Google Scholar