The effect of serial correlation on confidence regions for the parmnters of a multivariate normal population

DOI10.1080/03610928008827963zbMath0464.62028OpenAlexW2105283200MaRDI QIDQ3915811

J. D. Tubbs

Publication date: 1980

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928008827963

zbMATH Keywords

Toeplitz matrixKronecker productspectral densitymultivariate normal populationautoregressive stationary time seriessignificance levels of confidence regionsviolations of the independence assumption

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)

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Independence-distribution-preserving dependency structures for the modified likelihood ratio test for detecting unequal covariance matrices, Test procedures in coyariamce analysis assuming a general correlation pattern, A characterization of the independence - distribution - preserving covariance structure for the multivariate maximum squared - radii statistic

Cites Work

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• The behavior of robust estimators on dependent data
• Testing the mean of a normal population under dependence
• The effect of autoregressive dependence on a nonparametric test (Corresp.)