The effects of correlation on goodness of fit
Autocorrelated normal random variates were generated via computer and the effects of various levels of correlation on goodness of fit problems were studied. The results are useful in determining the distribution or estimating the parameters of populations that correlate observations such as wind speeds and temperature. The model used to generate the autocorrelated data is an autoregressive process of order 1. The Kolmogorov-Smirnov and chi-square statistics are used in the analysis. It was observed in the simulation that high positive correlations tend to shift the sample mean away from the population mean and negative correlations tend to shift the sample mean towards the population mean. In many cases, it was observed that positive and negative correlations tend to decrease the standard deviation. However, since this did not occur in all cases, no definite conclusion can be made regarding the standard deviation. Since the autoregressive process is a linear transformation, it is not surprising that normality was preserved. However, a possible extension of this problem could be to generate non-normal data and observe how the distribution is affected by correlation. Another extension might utilize another model such as autoregressive of order k or a moving average process of order k.