Effect of Autocorrelated Observations on Confidence Sets Based upon Chi-Square Statistics
- 1 April 1980
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Systems, Man, and Cybernetics
- Vol. 10 (4) , 177-180
- https://doi.org/10.1109/tsmc.1980.4308467
Abstract
How the presence of autocorrelation in a multivariate normal sample affects the confidence level of confidence regions based upon chi-square statistics is investigated. Particular consideration is given to the effect that this violation of the assumption of a random sample has upon the construction of confidence regions for the mean μ and the scalar σ2, in σ2V, where V is a known dispersion matrix.Keywords
This publication has 3 references indexed in Scilit:
- Effect of Intraclass Correlation on Confidence Coefficients of Confidence Sets Based on Chi-Square StatisticsIEEE Transactions on Systems, Man, and Cybernetics, 1976
- Series Representations of Distributions of Quadratic Forms in Normal Variables II. Non-Central CaseThe Annals of Mathematical Statistics, 1967
- Toeplitz Forms and Their ApplicationsPublished by University of California Press ,1958