Tytuł artykułu

Standard Deviation of the Mean of Autocorrelated Observations Estimated with the Use of the Autocorrelation Function Estimated From the Data

Tytuł czasopisma

Metrology and Measurement Systems

Rocznik

2011

Numer

No 4

Autorzy

Zięba, Andrzej ; Ramza, Piotr

Słowa kluczowe

autocorrelated data ; time series ; effective number of observations ; estimators of variance ; measurement uncertainty

Wydział PAN

Nauki Techniczne

Zakres

529-542

Wydawca

Polish Academy of Sciences Committee on Metrology and Scientific Instrumentation

Data

2011

Typ

Artykuły / Articles

Identyfikator

DOI: 10.2478/v10178-011-0052-x ; ISSN 2080-9050, e-ISSN 2300-1941

Źródło

Metrology and Measurement Systems; 2011; No 4; 529-542

Referencje

Zięba A. (2010), Effective number of observations and unbiased estimators of variance for autocorrelated data - an overview, Metrol. Meas. Syst, 17, 3, doi.org/10.2478/v10178-010-0001-0 ; Chipman J. (1968), Efficiency of the sample mean when residuals follow a first-order stationary Markoff process, J. Amer. Statist. Assoc, 63, 1237, doi.org/10.2307/2285880 ; Pham T. (1992), On the best unbiased estimate for the mean of a short autoregressive time series, Econometric Theory, 8, 120, doi.org/10.1017/S026646660001077X ; Bayley G. (1946), The "effective" number of independent observations in an autocorrelated time series, J. R. Stat. Soc. Suppl, 8, 184, doi.org/10.2307/2983560 ; Box G. (1994), Time Series Analysis: Forecasting and Control. ; Zhang N. (2006), Calculation of the uncertainty of the mean of autocorrelated measurements, Metrology, 43, 276, doi.org/10.1088/0026-1394/43/4/S15 ; Percival D. (1993), Three curious properties of the sample variance and autocovariance for stationary processes with unknown mean, The American Statistician, 47, 274, doi.org/10.2307/2685286 ; Quenouille M. (1949), Approximate tests of correlation in time-series, J. R. Statist. Soc. B, 11, 68. ; Marriott F. (1954), Bias in the estimation of autocorrelations, Biometrika, 41, 390. ; Zieba, A., Ramza, P., to be published. ; ISO/IEC. (1995). <i>Guide to the Expression of Uncertainty in Measurement.</i> Geneva: ISO. ; (2008), Powder Diffraction: Theory and Practice.