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Approximating the distribution of the R/s statistic
Conniffe, Denis; Spencer, John E.
The R/s statistic, used for many years in hydrology, is increasingly employed in economics, although deficiencies in knowledge about its exact distribution have inhibited progress. Harrison and Treacy (1997) described some applications where R/s arises as a test statistic and they derived close to exact critical values for conventional (5 per cent etc.) significance levels for a range of sample values through Monte Carlo simulation. This paper examines two approaches. One is a simple adjustment to the asymptotic distribution that improves its upper tail accuracy greatly and the other is an approximation to the whole distribution, easily computed and suitable for ?P-value? calculation, which is also reasonably precise in the upper tail. The Harrison and Treacy values and Monte Carlo simulation are used to confirm accuracy.
Keyword(s): Rescaled range statistic; Quantitative economics; Quantitative methods
Publication Date:
Type: Journal article
Peer-Reviewed: Unknown
Language(s): English
Institution: Trinity College Dublin
Citation(s): Conniffe, Denis; Spencer, John E. 'Approximating the distribution of the R/s statistic'. - Economic & Social Review, Vol. 31, No. 3, July, 2000, pp. 237-248, Dublin: Economic & Social Research Institute
Publisher(s): Economic & Social Studies
First Indexed: 2014-05-13 05:26:03 Last Updated: 2018-08-12 06:15:18