Small sample estimation of ρ1
Authors:
- James R. WallisJWJames R. Wallis
- P. Enda O'ConnellPOP. Enda O'Connell
- 1 June 1972
- journal article
- Published by American Geophysical Union (AGU) in Water Resources Research
- Vol. 8 (3) , 707-712
Abstract
Hydrologists frequently need to estimate lag 1 correlation ρ1 from rather short observed records of length n. The most commonly used algorithms for estimating ρ1 can give seriously biased estimates if n is small and |ρ1| is large. Small sample bias corrections based on the assumption of a lag 1 Markov generating process are available for , but the corrected estimates tend to have larger variance than the uncorrected estimates do.Keywords
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