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2017 Jun 15
0
Estimating Unbiased Standard Deviation with Autocorrelation
Hello, I have a vector of values with significant autocorrelation, and I want to calculate an unbiased standard deviation that adjusts for the autocorrelation. The formula linked below purports to provide what I want: https://en.wikipedia.org/wiki/Unbiased_estimation_of_standard_deviation#Effect_of_autocorrelation_.28serial_correlation.29 However, rather than just implementing this equation in my own function, I figured there is likely already an R function that does this, and perhaps does a better job of handling the subtleties of the adjustment when the ACF itself is estimated from the same data that is us...