From: Herman Rubin <[EMAIL PROTECTED]>
Newsgroups: sci.stat.consult, sci.stat.edu, sci.stat.math
> In article <Pine.SOL.3.91.1000428033622.20399C-100000@miles>,
> Greg Heath <[EMAIL PROTECTED]> wrote:
> >Date: Fri, 28 APR 2000 00:00:45 GMT
> >From: [EMAIL PROTECTED]
>
> ...................
>
> >One variable, 20 measurements per second, 26.25 seconds (526 measurements).
> >The 1/e decorrelation time estimated from the autocorrelation function is
> >~ 1 second. Therefore, I will get independent measurements approximately
> >every T0 seconds (probably ~2 <= T0 <= ~ 4 sec)
>
> >Could these correlated measurements have come from a Gaussian distribution?
>
> >Please see my responses to the other replies.
>
> Bootstrapping is totally inappropriate. However, there
> are other simpler simulation methods of obtaining the
> significance level, using any test statistic you wish to
> use, assuming you are willing to use the particular value
> of the correlation coefficient and you are using a
> scale-invariant test. The variance will not affect your
> test in this problem. BTW, this method is the one used
> for obtaining significance levels for the
> Kolmogorov-Smirnov test when parameters are estimated.
>
> Construct samples according to the null hypothesis. The
> samples should be independent; the dependence within each
> sample should follow the model. Then use the empirical
> distribution to determine the significance of your data set.
Sounds good. Thank you.
However, I'm surprised that simulation is still necessary if the
measurements were independent instead of correlated.
Warren Sarle (private communication) commented that decorrelating the
series using ARIMA and testing the residuals is also a valid approach.
However, since the variance is estimated I'd still have to use the
simulation approach to obtain the significance level. Is that correct?
Greg
Hope this helps.
Gregory E. Heath [EMAIL PROTECTED] The views expressed here are
M.I.T. Lincoln Lab (781) 981-2815 not necessarily shared by
Lexington, MA (781) 981-0908(FAX) M.I.T./LL or its sponsors
02420-9185, USA
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