On Serial Correlation

Serial Correlation Coefficient

In this paper, we investigate the relation between two variables where the one is measured with the ratio or interval scale and the other with the nominal. In this cases, we use from serial correlation coefficient. Computation of some serial coefficient such as biserial and point-biserial coefficient is carried out with some examples and R program.

• Serial Correlation in Regression Analysis

Serial Correlation Tests with Wavelets

This paper offers two new statistical tests for serial correlation with better power properties. The first test is concerned with wavelet-based portmanteau tests of serial correlation. The second test extends the wavelet-based tests to the residuals of a linear regression model. The wavelet approach is appealing, since it is based on the different behavior of the spectra of a white noise proces...

Tests for Serial Independence and Linearity based on Correlation Integrals

We propose information theoretic tests for serial independence and linearity in time series. The test statistics are based on the conditional mutual information, a general measure of dependence between lagged variables. In case of rejecting the null hypothesis, this readily provides insights into the lags through which the dependence arises. The conditional mutual information is estimated using...

On the power of Portmanteau serial correlation tests

This paper studies properties of the portmanteau statistic proposed by Box and Pierce [1] and its modification of Ljung and Box [2]. We show that these portmanteau statistics are feasible analogs to optimal tests for the class of statistics which are linear combinations of consistent estimates of serial correlations. We find, however, that for sample sizes commonly encountered in practice, the ...