Abstract
IT has for some time been realized that the ordinary test of significance of the correlation coefficient cannot be applied indiscriminately to pairs of time series, since serially adjacent observations are not in general independent. Tests of significance of the correlation coefficient have therefore been developed which are designed to make allowance for the effect of autocorrelation1.
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References
Bartlett, M. S., J. Roy. Statist. Soc., 98, 536 (1935). Orcutt, G. H., and James, S. F., Biometrika, 35, 397 (1948). Quenouille, M. H., J. Roy. Statist. Soc., B, 11, 68 (1949).
Reeds, C. A., Bull. Geol. Soc. Amer., 40, 597 (1929).
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BURNABY, T. A Suggested Alternative to the Correlation Coefficient for testing the Significance of Agreement between Pairs of Time Series, and its Application to Geological Data. Nature 172, 210–211 (1953). https://doi.org/10.1038/172210b0
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DOI: https://doi.org/10.1038/172210b0
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