Abstract
SINCE the introduction of the serial correlation coefficient by Yule1 the method of correlogram analysis has been extensively used. As a rule, the correlogram analysis has been preceded by a smoothing process for the removal of trend (either by curve fitting or moving averages), and the serial correlations are estimated from the residuals. Although it is quite generally realized that parameters so estimated are liable to bias, the form and full extent of this bias have not been extensively investigated.
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References
Yule, G. U., J. Roy. Stat. Soc., 84, 497 (1921).
Sastry, A. S. R., Sankhya, 11, 281 (1951).
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POPE, J., MARRIOTT, F. Errors in the Estimation of Serial Correlations. Nature 172, 778 (1953). https://doi.org/10.1038/172778a0
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DOI: https://doi.org/10.1038/172778a0
