Efficiency of the Sample Mean when Residuals Follow a First-Order Stationary Markoff Process
- 1 December 1968
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 63 (324) , 1237
- https://doi.org/10.2307/2285880
Abstract
The efficiency of the sample mean relative to the “best” linear unbiased estimator when residuals follow a first-order stationary Markoff process is studied. The minimum efficiency for correlation ρ ≧ 0 occurs at the unique root of a certain equation depending on the sample size n and decreases monotonically in n toward the value .878 obtained by Ylvisaker in the continuous case. It is tabulated for selected n ≦ 300, together with the value of p at which the minimum is achieved.Keywords
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