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On the Small Sample Distribution of the R/S Statistic

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Author Info
Michael Harrison
Glenn Treacy
Abstract

This paper gives an account of the R/S statistic and its known properties. It assesses the adequacy of the asymptotic distribution of R/S in the case of samples of small and moderate size, and suggests an improved approximation based on the beta distribution. The results indicate that the proposed beta approximation is superior to the asymptotic distribution for practical purposes. Hence a new table of critical values is presented as an alternative to that of Lo (1991).

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Publisher Info
Paper provided by Trinity College Dublin, Department of Economics in its series Economics Technical Papers with number 976.

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Date of creation: 1997
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Handle: RePEc:tcd:tcduet:976

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Postal: Trinity College, Dublin 2
Phone: (+ 353 1) 6081325
Fax: 6772503
Web page: http://www.tcd.ie/Economics/
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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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  1. Saralees Nadarajah & Samuel Kotz, 2006. "Beta trigonometric distributions," Portuguese Economic Journal, Springer, vol. 5(3), pages 207-224, December. [Downloadable!] (restricted)
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This page was last updated on 2008-9-21.


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