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.
"On Exact 100(1-α)% Confidence Interval of Autocorrelation Coefficient in Multivariate Data When the Errors are Autocorrelated,"
Journal of Modern Applied Statistical Methods:
1, Article 10.
Available at: http://digitalcommons.wayne.edu/jmasm/vol9/iss1/10