We derive a confidence interval for the common autocorrelation coefficient ρ based on several independent multinormal samples. The confidence interval is the intersection of the k intervals derived from the data based on the roots of a quadratic equation in ρ. An example with real life data is also presented.

likelihood ratio test, autocorrelation coefficient, confidence interval.

Received: May 1, 2022; Accepted: June 10, 2022; Published: September 14, 2022

How to cite this article: Madhusudan Bhandary, On confidence interval of a common autocorrelation coefficient for several populations in multivariate data when the errors are autocorrelated, Far East Journal of Theoretical Statistics 66 (2022), 73-88. http://dx.doi.org/10.17654/0972086322013

This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License

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