Rényi statistics for testing equality of autocorrelation coefficients

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F09%3A00159607" target="_blank" >RIV/68407700:21340/09:00159607 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/09:00332408

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Rényi statistics for testing equality of autocorrelation coefficients

Original language description

The problem of testing for equality of autocorrelation coefficients of two populations in multivariate data when errors are autocorrelated is considered. We derive Rényi statistics defined as divergences between unrestricted and restricted estimated joint probability density functions and we show that they are asymptotically chi-square distributed under the null hypothesis of interest. Monte Carlo simulation experiments are carried out to investigate the behavior of Rényi statistics and to make comparisons with test statistics based on the approach of Bhandary [M. Bhandary, Test for equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated, Statistics & Probability Letters 73 (2005) 333-342] for the problem under consideration. Rényi statistics showed to have significantly better behavior.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

<a href="/en/project/1M0572" target="_blank" >1M0572: Data, algorithms, decision making</a><br>

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Statistical Methodology

ISSN

1572-3127

e-ISSN

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Volume of the periodical

6

Issue of the periodical within the volume

4

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

13

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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