Kybernetika 34 no. 5, 545-554, 1998

On Bartlett's test for correlation between time series

Jiří Anděl and Jaromír Antoch

Abstract:

An explicit formula for the correlation coefficient in a two-dimensional AR(1) process is derived. Approximate critical values for the correlation coefficient between two one-dimensional AR(1) processes are tabulated. They are based on Bartlett's approximation and on an asymptotic distribution derived by McGregor. The results are compared with critical values obtained from a simulation study.