Title :
Using F - Test for the indirect detecting of the autocorrelation of random observations
Author :
Dorozhovets, Mykhaylo
Author_Institution :
Rzeszow Univ. of Technol., Rzeszow, Poland
Abstract :
A proposed test is realized by the separation of N registered observations into k shorter series containing n observations (N = n·k), estimation and comparing the variance of the mean values of these series with an average of their variances. If the ratio of these variance estimators after normalization by the number of degrees of freedom k - 1 and N - k is greater than the critical value Fcritic(1 - α, n - 1, N - n) from the F - distribution (α is a significance level) then it testifies to the auto correlation of observations. The effectiveness of the proposed test is investigated by the Monte-Carlo method.
Keywords :
Monte Carlo methods; estimation theory; statistical distributions; statistical testing; F-Test; F-distribution; Monte Carlo method; indirect autocorrelation detection; k shorter series; mean value variance; normalization; random observations; variance estimator; Correlation; Educational institutions; Estimation; Monte Carlo methods; Standards; Testing; Uncertainty; F - test; autocorrelation; mean value; observations; standard uncertainty;
Conference_Titel :
Intelligent Data Acquisition and Advanced Computing Systems (IDAACS), 2013 IEEE 7th International Conference on
Conference_Location :
Berlin
Print_ISBN :
978-1-4799-1426-5
DOI :
10.1109/IDAACS.2013.6662658