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ON CONFIDENCE INTERVAL OF A COMMON AUTOCORRELATION COEFFICIENT FOR SEVERAL POPULATIONS IN MULTIVARIATE DATA WHEN THE ERRORS ARE AUTOCORRELATED
Keywords:
likelihood ratio test, autocorrelation coefficient, confidence intervalDOI:
https://doi.org/10.17654/0972086322013Abstract
We derive a confidence interval for the common autocorrelation coefficient $\rho$ based on several independent multinormal samples. The confidence interval is the intersection of the k intervals derived from the data based on the roots of a quadratic equation in $\rho$. An example with real life data is also presented.
Received: May 1, 2022
Accepted: June 10, 2022
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