On Exact 100(1-α)% Confidence Interval of Autocorrelation Coefficient in Multivariate Data When the Errors are Autocorrelated

Abstract

An exact 100(1−α)% confidence interval for the autocorrelation coefficient ρ is derived based on a single multinormal sample. The confidence interval is the interval between the two roots of a quadratic equation in ρ . A real life example is also presented.