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Test for the equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated

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  • Bhandary, Madhusudan

Abstract

We derive a likelihood ratio test for the equality of two autocorrelation coefficients based on two independent multinormal samples. The critical value and the power analysis of the test are obtained through simulation.

Suggested Citation

  • Bhandary, Madhusudan, 2005. "Test for the equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated," Statistics & Probability Letters, Elsevier, vol. 73(4), pages 333-342, July.
    • Handle: RePEc:eee:stapro:v:73:y:2005:i:4:p:333-342
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