The Fitting of Markoff Serial Variation Curves
Hilda M. Davies, Geoffrey H. Jowett · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1958
SUMMARY The generalized least squares method is used to establish a practical method of fitting the function θ(1 — ρ |τ|) to the first few serial variation statistics of a time series for use as an approximation to the beginning of a serial variation function of more general type. A large-sample goodness of fit test is given, and also a method of testing the goodness of fit of a common or specified function, or functions with a common or specified value of ρ, to several series.