Title

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

Journal title

Metrology and Measurement Systems

Yearbook

2011

Issue

No 4

Authors

Zięba, Andrzej ; Ramza, Piotr

Keywords

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

Divisions of PAS

Nauki Techniczne

Coverage

529-542

Publisher

Polish Academy of Sciences Committee on Metrology and Scientific Instrumentation

Date

2011

Type

Artykuły / Articles

Identifier

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

Source

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

References

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.