About: Rényi statistics for testing equality of autocorrelation coefficients

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Description	The problem of testing for equality of autocorrelation coefficients of two populations in multivariate data when errors are autocorrelated is considered. We derive Rényi statistics defined as divergences between unrestricted and restricted estimated joint probability density functions and we show that they are asymptotically chi-square distributed under the null hypothesis of interest. Monte Carlo simulation experiments are carried out to investigate the behavior of Rényi statistics and to make comparisons with test statistics based on the approach of Bhandary [M. Bhandary, Test for equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated, Statistics & Probability Letters 73 (2005) 333 342] for the problem under consideration. Rényi statistics showed to have significantly better behavior. The problem of testing for equality of autocorrelation coefficients of two populations in multivariate data when errors are autocorrelated is considered. We derive Rényi statistics defined as divergences between unrestricted and restricted estimated joint probability density functions and we show that they are asymptotically chi-square distributed under the null hypothesis of interest. Monte Carlo simulation experiments are carried out to investigate the behavior of Rényi statistics and to make comparisons with test statistics based on the approach of Bhandary [M. Bhandary, Test for equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated, Statistics & Probability Letters 73 (2005) 333 342] for the problem under consideration. Rényi statistics showed to have significantly better behavior. (en)
Title	Rényi statistics for testing equality of autocorrelation coefficients Rényi statistics for testing equality of autocorrelation coefficients (en)
skos:prefLabel	Rényi statistics for testing equality of autocorrelation coefficients Rényi statistics for testing equality of autocorrelation coefficients (en)
skos:notation	RIV/67985556:_____/09:00332408!RIV10-MSM-67985556
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(1M0572), Z(AV0Z10750506), Z(MSM6840770039)
http://linked.open...iv/cisloPeriodika	4
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Hobza, Tomáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	338956
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/09:00332408
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Rényi divergence; Likelihood divergence statistics; Testing hypothesis; Autocorrelation coefficient (en)
http://linked.open.../riv/klicoveSlovo	Rényi divergence Autocorrelation coefficient Likelihood divergence statistics Testing hypothesis
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[E8BDB17503CD]
http://linked.open...i/riv/nazevZdroje	Statistical Methodology
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Data, algorithms, decision making
http://linked.open...UplatneniVysledku	2009
http://linked.open...v/svazekPeriodika	6
http://linked.open...iv/tvurceVysledku	Hobza, Tomáš Morales, D. Pardo, L.
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech Matematické, počítačové a experimentální metody ve fyzice
issn	1572-3127
number of pages	13 (xsd:int)
is http://linked.open...avai/riv/vysledek of	Rényi statistics for testing equality of autocorrelation coefficients Rényi statistics for testing equality of autocorrelation coefficients Rényi statistics for testing equality of autocorrelation coefficients Rényi statistics for testing equality of autocorrelation coefficients

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