Journal of Occupational and Environmental Hygiene

ISSN: 1545-9624 (Print) 1545-9632 (Online) Journal homepage: http://www.tandfonline.com/loi/uoeh20

Performing T-tests to Compare Autocorrelated

Time Series Data Collected from Direct-Reading
Instruments

Patrick O’Shaughnessy & Joseph E. Cavanaugh

To cite this article: Patrick O’Shaughnessy & Joseph E. Cavanaugh (2015) Performing
T-tests to Compare Autocorrelated Time Series Data Collected from Direct-Reading
Instruments, Journal of Occupational and Environmental Hygiene, 12:11, 743-752, DOI:
10.1080/15459624.2015.1044603

To link to this article: http://dx.doi.org/10.1080/15459624.2015.1044603

Accepted author version posted online: 26

May 2015.
Published online: 09 Oct 2015.

Submit your article to this journal

Article views: 154

View related articles

View Crossmark data

Full Terms & Conditions of access and use can be found at

http://www.tandfonline.com/action/journalInformation?journalCode=uoeh20

Download by: [University of Lethbridge] Date: 06 November 2015, At: 12:29

 Journal of Occupational and Environmental Hygiene, 12: 743–752
ISSN: 1545-9624 print / 1545-9632 online
Copyright c 2015 JOEH, LLC
DOI: 10.1080/15459624.2015.1044603
Performing T-tests to Compare Autocorrelated Time Series
Data Collected from Direct-Reading Instruments
Patrick O’Shaughnessy1and Joseph E. Cavanaugh2
1
Department of Occupational and Environmental Health, College of Public Health, The University of Iowa,
Iowa City, Iowa
2
Department of Biostatistics, College of Public Health, The University of Iowa, Iowa City, Iowa
Downloaded by [University of Lethbridge] at 12:29 06 November 2015
Industrial hygienists now commonly use direct-reading in-
struments to evaluate hazards in the workplace. The stored
values over time from these instruments constitute a time
series of measurements that are often autocorrelated. Given
the need to statistically compare two occupational scenarios
using values from a direct-reading instrument, a t-test must
consider measurement autocorrelation or the resulting test will
have a largely inflated type-1 error probability (false rejection
of the null hypothesis). A method is described for both the
one-sample and two-sample cases which properly adjusts for
autocorrelation. This method involves the computation of an
“equivalent sample size” that effectively decreases the actual
sample size when determining the standard error of the mean
for the time series. An example is provided for the one-sample
case, and an example is given where a two-sample t-test is
conducted for two autocorrelated time series comprised of
lognormally distributed measurements.
Keywords autocorrelation, direct-reading, t test, time series
Address correspondence to Patrick O’Shaughnessy, Occupational
and Environmental Health, College of Public Health, 100 CPHB,
S320, Iowa City, IA 52242; e-mail: patrick-oshaughnessy@uiowa.edu
INTRODUCTION
W ith a wide variety of direct-reading instruments avail-
able to the industrial hygienist, they are now commonly
used to provide measurements as part of a study to compare
two or more conditions. In such cases, a t-test or an analysis of
variance (ANOVA) might be applied to determine the statis-
tical significance of the difference(s) in mean levels of those
conditions. Proper application of those statistical techniques
relies on the premise that the samples for each condition
contain observations that have been randomly obtained from
a population and are independent and normally distributed.
However, as the sampling rate increases, the time between
successive measurements decreases, and the likelihood of a
subsequent measurement being related in magnitude to a pre-
vious measurement increases. This “autocorrelation” of one
Journal of Occupational and Environmental Hygiene
measurement to a previous measurement, or multiple previous
measurements, results in a sample containing measurements
that are no longer independent, which therefore violates a
fundamental assumption required for proper use of a t-test or
an ANOVA.
The issue of autocorrelation, or “serial correlation,” in suc-
cessive measurements made in occupational settings has been
discussed in the literature. For the situation in which a contam-
inant is generated in a perfectly-mixed ventilated room, Roach
(1977) explained that serial correlation will decrease exponen-
tially from perfect correlation between successive measure-
ments, r = 1, as the sample interval, t, increases relative to
the room air changes per hour, N .(1) Or, to state the relationship
in terms of the room residence time, τ = 1/N :
r = e−t/τ . (1)
In this case, contaminant concentrations between succes-
sive samples become less randomly varied as the time between
samples decreases and therefore become more serially corre-
lated. Roach also mentioned that the instrument itself may have
a “time constant” which does not allow it to instantaneously
react to an actual change in concentration and therefore adds
to the serial correlation between measurements.
Serial correlation in measurements made by industrial hy-
gienists has been described over the ensuing decades, but pri-
marily in the context of successive grab samples(2,3) or day-to-
day samples(4-6) rather than those obtained from direct-reading
instruments. A review of recent literature on this subject re-
sulted in only one article by Klein-Entink et al. who described
the use of statistical techniques for the analysis of time series
to achieve valid comparisons between the means of contiguous
measurements made at the same location with a direct-reading
instrument separated by some change, or intervention, in a pro-
cess producing airborne contaminants.(7) That article provides
methods, and realistic examples, associated with the develop-
ment of autoregressive-integrated-moving average (ARIMA)
models, which are then used to compensate for autocorrela-
tion when performing a comparison of the means of adja-
cent time series. ARIMA models were principally developed
November 2015 743
 by Box et al.(8) and are explained in most texts on time
series analysis techniques. However, correct development of
ARIMA models requires advanced training and experience, as
they necessitate the consideration and assessment of multiple
potentially acceptable model forms.
The methods described here are restricted to cases of a one-
or two-sample t-test of autocorrelated data. Few explanations
were found of methods to perform comparisons of multiple
independent time series with autocorrelated data analogous
to an analysis of variance (ANOVA). Shumway and Stoffer
described a method for testing the equality of means of a
collection of time series and included the associated R code
required to perform that analysis.(9) Their method is developed
using Fourier transforms and frequency domain techniques. A
similar ANOVA method that focuses on time series that can be
modeled as AR(1) processes is described by Sutradhar et al.(10)
In their article on methods to harmonize strategies for
Downloaded by [University of Lethbridge] at 12:29 06 November 2015
measuring engineered nano-sized objects, Brouwer et al. em-
phasized the need to account for autocorrelation in time-
series data obtained from direct-reading instruments.(11) They
also recognized that many in the field of occupational health
research do not have experience with the development of
ARIMA models. In that regard, the purpose of this paper is to
provide an alternative method for comparing the mean levels
of data sets comprised of autocorrelated time series that fit
within the structure of commonly applied statistical methods.
To that end, this article will first present a general method and
then provide an example of its use from data obtained in an
occupational setting.
Analysis of an Ideal AR(1) Time Series
A brief introduction to time series analysis is necessary for
understanding the methods to be described. An overview of
this subject in the context of occupational health is also given
by George et al.(4) A time series of measurements,y, from
a direct-reading instrument will undoubtedly be affected by
random perturbations in the level of the contaminant measured.
A simple model of such a series is:
yt = μ + εt , (2)
where yt represents the value of the measurement time series
y taken at a discrete point in time, t, which is acquired over a
uniformly spaced sample interval, t; μ is the mean level of
the measurements; and εt represents the random component
of the measurement and, over all sample episodes, is a series
of normally-distributed values with a mean of 0 and constant
variance, σ 2. If expressing the measurements as deviations
from the mean, as is common in time series analysis, this
equation results in yt − μ = εt . Conventional testing and
estimation procedures for μ are based on the assumption that
the εt values are serially uncorrelated.
If autocorrelation is present in the time series, the simplest,
and most intuitive, adjustment to that model is to include a term
in which a previous measurement, yt−1 , influences the present
744 Journal of Occupational and Environmental Hygiene
measurement, yt , by some constant multiple, φ, resulting in:
yt = (1 − φ) μ + φyt−1 + εt . (3)
This equation models what is referred to as a first-order
autoregressive, AR(1), process.(8) Such a process, therefore, is
one in which a value displayed by a direct-reading instrument
is influenced by both the current condition occurring at the
sample time, t, as well as the condition when a measurement
was taken during the most recent previous sample time, t − 1,
from that of the current measurement. Therefore, t indicates
the order of measurement without regard to the magnitude
of the sample interval, t, so that yt indicates the tth mea-
surement of a time series.(12) Theoretically, the value of φ
in Eq. (3) has values in the range, −1 < φ < 1. However,
the autocorrelation that exists in a time series of airborne
contaminant concentrations is typically such that any two
measurements are similar to each other (φ → 1) as versus
very dissimilar to each other (φ → −1); therefore, the methods
described here are restricted to φ in the range, 0 < φ < 1.(4,13)
Rappaport suggested the use of the AR(1) process for
modeling the autocorrelation of a time series of contaminant
measurements when means to obtain a more definitive model
are not available.(5) No additional guidance could be found
in the literature to verify this claim. However, a simplified
statistical method is described here to verify the application
of the AR(1) model to a measurement time series. Given the
estimate of r provided by Eq. (1), a general rule to enhance the
prospect that the resulting time series will constitute an AR(1)
process would be to limit the sample interval so that t/τ >
0.1 which corresponds to r < 0.9. This rule will not eliminate
autocorrelation, as r may still be high, but will aid in choosing
a sample rate that is not so fast as to overly complicate the
resulting time series beyond that which can be modeled as
an AR(1) process. For example, given air changes per hour
(N) between 2 - 12, the minimum sample interval would be
3–0.5 min, respectively.
Checking for Autocorrelation
Before proceeding with the methods described here, the
measurements obtained over time with a real-time instrument
should first be checked to determine whether they constitute a
time series consisting of first-order autocorrelated data. When
performing linear regression analysis, it is assumed that the set
of differences, e, between the predicted value of y for a given x,
ŷ, and the measured value of y, will be normally distributed and
independent of each other, i.e., not autocorrelated. The Durbin-
Watson (D-W) test was designed to test the null hypothesis that
the set of differences, e = y − ŷ, are not autocorrelated. This
test can also be used to test for autocorrelation in a time series
of n measurements by first regressing the measurements,yt , on
their corresponding time index, t. In the absence of a linear
trend in the series, the autocorrelation in successive measured
values,yt , is approximately the same as the autocorrelation
in successive differences, et = yt − ŷt . The test involves
November 2015
 computing the D-W statistic, d̂, using:
n
(et − et−1 )2
d̂ = t=2
n 2 , (4)
t=1 et
and comparing d̂ to a table of critical values for determining
whether the autocorrelation in the data is statistically signif-
icant.(14) Given the use of t in Eqs. (2) and (3) as a discrete
(integer) indication of a sample made at some point in time,
note that t is likewise used as an integer index in Eq. (4).
The D-W statistic lies between 0 and 4. A value of d̂ near 2
is consistent with the null hypothesis of no first-order autocor-
relation, while d̂ → 0 indicates positive autocorrelation (the
typical case) and d̂ → 4 indicates negative autocorrelation
between successive values in the time series. Therefore, both a
lower and upper critical value is provided in tables established
for the D-W statistic.
Downloaded by [University of Lethbridge] at 12:29 06 November 2015
Checking Time Series Stationarity
Regarding the extremes of the value for φ in Eq. (3), one
can see that φ = 0 will revert Eq. (3) back to Eq. (2), which
represents a randomly fluctuating series about the mean level
μ. In that case, the best estimate of a future value of y is
μ. However, if φ = 1, the term containing μ drops out and
leaves yt dependent on the same random fluctuation, but in this
case about the previous measurement, yt−1 . This condition is
known as a “random walk” as the series meanders randomly
among successive values of y. In that case, the best estimate
of a future value of y is the previous value of y. If successive
sample sets of, say, 50 samples each out of 1000 total sampled
from a random walk series are statistically analyzed, the 20
resulting means and variances will not be similar. Such a time
series is therefore referred to as “nonstationary.” If a time
series is to be adequately modeled by Eq. (3), then the series
must be “stationary,” which is a series that oscillates about
a constant overall mean and with a constant overall variance.
Furthermore, all AR(1) series with |φ| < 1 will be stationary.(8)
The standard check to determine whether a time series is sta-
tionary is to first plot the autocorrelation function (ACF). This
is typically presented as a bar chart showing the magnitude
of the correlation between yt and the successive “lags,”yt−1 ,
yt−2 , . . . yt−k , where k indicates the number of lags into the
past from the present time, t. From inspection of Eq. 3 it can
be seen that yt is correlated with yt−1 , but, after shifting the
time index for both by one period, then yt−1 is correlated with
yt−2 . Therefore, to some lesser extent, yt is also correlated with
yt−2 , and, by extension, yt will be likewise correlated with all
other yt−k . Box and Jenkins demonstrated that the correlation
for each lag, ρk , is related to φ by ρk = φ k .(8) Given that
0 < φ < 1, the sample autocorrelation function for a series
defined as an AR(1) process will rapidly decay from a starting
value of ρ̂1 = φ̂ for lag 1, where ρ̂ and φ̂ are the natural
estimates of ρ and φ, respectively. In fact, the decay in ρ̂k for
a measured series of data obtained in a well-mixed room is
explained by Eq. (1).(3) The sample ACF is given by George
Journal of Occupational and Environmental Hygiene
et al. as:(4)
n−k
(yt − ȳ) (yt+k − ȳ)
ρ̂k = t=1n . (5)
t=1 (yt − ȳ)
2
Given that ρ̂k ≈ φ̂ k , then the ρ̂k values calculated by
Eq. 5 should diminish in a similar manner with an increase
in k. Computing the ρ̂k values can be accomplished with a
spreadsheet and used to verify that the AR(1) is appropriate
for the data series by noting whether they decay approximately
in an exponential manner.
Determining the AR(1) Coefficient
This article focuses on the need for statistical methods
to compare two occupational environments which have been
measured with the use of direct reading instruments. As will
be explained, the development of a time series model for those
data series is not necessary for that goal. However, determining
φ in Eq. (3) can aid in evaluating the efficacy of using the
AR(1) model to represent a time series. For example, once
φ is estimated, Eq. (3) can be solved for εt and that residual
series can be assessed with the D-W statistic to determine that
it does not contain serial correlation. In addition, approximate
normality of the residual series can be gauged using any
available techniques (e.g., QQ plots, goodness-of-fit tests).
If software capable of time series analysis was used to
estimate φ in Eq. (3), the method applied involves an initial
estimate of φ followed by successive iterations during which its
value is adjusted until the mean squared error of the residuals
is not reduced further by some minimal amount. That approach
is needed for complex ARIMA models as it also involves the
computation of “backforecasts” to fill in missing data when the
autocorrelation is significant for many lags in the past. This
iterative method of estimation is referred to as “unconditional
least squares.” However, an inspection of Eq. (3) reveals that
the model of an AR(1) process has the form of a linear equation
with intercept = (1 - φ)μ, and slope = φ. Therefore, an estimate
of φ can be obtained by simple linear regression of yt on yt−1 .
This simple method of estimation is referred to as “conditional
least squares.”
METHOD DEVELOPMENT
The Effect of Autocorrelation
Explanations of the effect of autocorrelation on the out-
come of statistical tests are provided by George et al.(4) and
Francis et al.(6) For the one-sample case where it is desired
to test the null hypothesis, H0 : μ = C, where C is some
constant value, say, an occupational exposure limit, recall that
the test involves an estimate of the standard deviation of the
sampling distribution of the mean, otherwise known as the
standard error. The sampling distribution is the distribution of
the means of multiple samples taken from the same population.
As an outcome of the Central Limit Theorem, the sampling
distribution
√ is approximately normal with a standard √ error,
σȳ = σy / n. The natural estimate of σȳ is sȳ = sy / n, where
sy denotes the sample standard deviation. A one-sample t-test
November 2015 745
 to accept or reject H0 will then involve the use of sȳ to calculate to solve for ne :
the test statistic, t̂:
n2 (ρ̂1 − 1)2
ȳ − C ne =  . (9)
t̂ = . (6) n − nρ̂12 + 2ρ̂1 ρ̂1n − 1
sȳ
Given that as n increases, ρ̂1n → 0 so that Eq. (9) can be
When serial autocorrelation is present in a time series of further reduced to:
measurements, the sample averages vary to a greater extent
than estimated by sȳ for that time series. This effect can be n2 (ρ̂1 − 1)2
ne ≈ (10)
seen in Figure 1 which compares a data series resulting from n − nρ̂12 − 2ρ̂1
Eq. (2) (Figure 1A) and one resulting from Eq. (3) (Figure 1B)
for measurement time series such as those obtained in work
with φ = 0.8, and both with identical values for μ and εt . The
settings that will often exceed n = 50. Likewise, as n → ∞,
bars in each plot represent the average of every five successive
Eq. (7) and Eq. (10) further reduce to:(17)
data√values. It is apparent from this figure that computing sȳ =
sy / n will underestimate the true variability in the sample 1 − ρ̂1
ne ≈ n . (11)
means of the autocorrelated time series with the result that 1 + ρ̂1
the test statistic will be inflated and H0 will have a greater
The values for ρ̂1 can be computed using Eq. (5). Given that
Downloaded by [University of Lethbridge] at 12:29 06 November 2015

likelihood of being rejected. Autocorrelation therefore inflates

the probability of a Type-1 error (false rejection) relative to its ρ̂1 = φ̂ and that φ̂ is restricted to the range 0 < φ̂ < 1, then it
declared value. is clear from Eq. (11) that ne < n, and ne → n as φ̂ → 0.(17)
For an AR(1) process this approach provides a method
for computing sa ȳ , and from which one-sample t-tests and
Compensating for Autocorrelation: The confidence intervals about a mean level can be performed that
One-Sample T-test compensate for the bias introduced by autocorrelation in the
A method for performing a t-test with data that constitutes data time series. To implement this approach, ρ̂1 is calculated
an autocorrelated time series is proposed here that is related using Eq. (5), then all other ρ̂k ≈ ρ̂1k in Eq. (7) to solve for ne .
to the commonly used t-test and will therefore be familiar to The equivalent sample size, ne , is then applied to Eq. (8) and
most involved in occupational health research. One approach the resulting sample estimate, sa ȳ , is substituted for sȳ in Eq.
could involve applying a correction factor to sȳ before its (6) to obtain the test statistic, t̂, which is compared to the table
application in Eq. (6) to correctly inflate its value to provide t-value with ne – 1 degrees of freedom and stated significance
a more accurate estimate of the standard error of an auto- level.
correlated data series. In fact, Spear et al. derived just such
an expression that, when applied to sȳ , provides an accurate
Compensating for Autocorrelation: The
estimate of the standard error of a data time series, σa ȳ , when
Two-Sample T-test
autocorrelation is present.(3) Wilks referred to that term as a
“variance inflation factor.”(15) Regardless, Spear et al. did not By extension of the one-sample case, Zwiers and von Storch
extend their variance inflation correction method to its use provided a related method for performing a two-sample
in a t-test of autocorrelated data, but were instead interested t-test.(13) Given two data time series, x and y, each with sample
in the relative difference in the variance of an entire series size n and m, respectively, the test statistic that compensates
of measurements relative to the variance obtained from a for autocorrelation in each series is computed using
collection of short-term samples of the same measurements. ȳ − x̄
However, an associated method has been described in papers t̂ =
. (12)
sp √1 + √1
primarily from the field of climatology(13,16,17) Rather than ne me
apply a variance inflation correction, Zweirs and von Storch(13)
Here, ne and me are calculated from a pooled estimate of the
first determined an “equivalent sample size,” ne :
lag-1 correlation coefficient, ρ̂p1 :
 n−1   −1 m n
 k t=2 (xt − x̄) (xt−1 − x̄) + (yt − ȳ) (yt−1 − ȳ)
ne = n 1 + 2 1− ρ̂k , (7) ρ̂p1 = m t=2
n
t=1 (xt − x̄) + t=1 (yt − ȳ)
n 2 2
k=1
(13)
that effectively reduces the true sample size to a value that followed by applying ρ̂k ≈ ρ̂p1 k
to Eq. (7). Likewise, the test
produces an improved estimate of the standard error: statistic given in Eq. (9) also includes a pooled estimate of the
standard deviation, sp :
sy
sa ȳ = √ . (8)   1/2
ne m
(xt − x̄)2 + nt=1 (yt − ȳ)2
sp = t=1
. (14)
The expression given in Eq. (7) has a closed-form solution m+n−2
as a function of ρ̂1 and n, which is less computationally difficult

746 Journal of Occupational and Environmental Hygiene November 2015

Downloaded by [University of Lethbridge] at 12:29 06 November 2015

FIGURE 1. A randomly varying time series (A) and a series with autocorrelation (B). The bars represent the average of every five data values.

FIGURE 2. Relationship between the normally distributed series, ln(ξt ) (A), the normally distributed, autocorrelated series, ln(zt ) (B), and the
lognormally distributed, autocorrelated series, zt (C), when μg = 5 and φ = 0.7 applied to Eq. (14).

Journal of Occupational and Environmental Hygiene November 2015 747

 FIGURE 3. Computer-generated AR(1) time series representing aerosol concentrations measured over a 200-min time period.
Downloaded by [University of Lethbridge] at 12:29 06 November 2015
Incorporating Lognormally Distributed Data
That measurements of airborne contaminants in occupa-
tional settings are often lognormally distributed has been
recognized for decades.(18,19) Prior to performing a t-test on
randomly sampled data that are lognormally distributed, the
common practice is to first log-transform the values to achieve
normally distributed data sets that therefore meet the normality
assumption of the t-test. If the data are also autocorrelated,
the transformation will not remove the autocorrelation. As
shown in Figure 2, the log-transform (plot B) of a lognormally
distributed, autocorrelated series (plot C) still retains autocor-
relation because the noise series, ξ t , analogous to εt in Eq. (3),
is lognormally distributed. When ξ t is log-transformed, ln(ξ t ),
a normally distributed series results (Figure 2, plot A).
A lognormally distributed, autocorrelated data series, zt ,
must be modeled in a way analogous to that for normally
distributed, autocorrelated data by directly applying the log-
transformed values to Eq. (3):(20)

ln (zt ) = (1 − φ) ln μg + φ ln (zt−1 ) + ln (ξt ) , (15)
FIGURE 4. Autocorrelation function (ACF) for the first seven lags. The “expected” curve indicates the magnitude of the ACF if it decayed in an
ideal manner from its value at lag-1 for an AR(1) process.
748 Journal of Occupational and Environmental Hygiene
where μg is the geometric mean of all zt . Note that exponenti-
ating both sides of Eq. (12) does not result in an equation with
the same form as Eq. (3). Rather, the solution is:
φ
zt = μ(1−φ)
g zt−1 ξt . (16)
However, as was the case for a normally distributed, au-
tocorrelated data series, the form of the mathematical model
that best describes the data is not important when applying
the methods described here to compensate for autocorrelation
when performing a t-test. Here, the lag-1 autocorrelation coef-
ficient, ρ̂1 , is computed for the normally distributed, autocor-
related series, ln(zt ), using Eq. (5) for k = 1 for the one-sample
case, or Eq. (10) for the two-sample case, in order to adjust
sample size using Eq. (7).
ONE-SAMPLE T-TEST EXAMPLE
A set of measurements was created to demonstrate the
application of the one-sample t-test adjustment for au-
tocorrelated data described above. Using the model for an
November 2015
 FIGURE 5. Aerosol concentrations recorded with a 1-min sample interval over 4 hr in two locations in a swine building. Station 1 was set near
the intake end and Station 3 near the exhaust end of the building.
Downloaded by [University of Lethbridge] at 12:29 06 November 2015

AR(1) process given in Eq. (3), a series of 200 normally-
distributed random numbers were generated (μ = 0, σ = 1),
and applied to the model given μ = 9.9 and φ = 0.7 (Figure 3).
In this hypothetical case, the measurements represent aerosol
concentrations in units of mg/m3 for which the occupational
exposure limit (OEL) is 10 mg/m3. A one-side, single-sample
t-test is therefore applied to test whether the concentrations are
significantly less than 10 mg/m3 at the 5% significance level
(α = 0.05).
Initial steps involved procedures to determine whether the
data values were autocorrelated. First a spreadsheet was de-
veloped to perform a calculation of the D-W statistic. The
spreadsheet (Excel, Microsoft Corp., Redmond, WA) was used
to perform a linear regression of the data values on time. The
resulting slope and intercept were used to develop a column
of predicted measurements, ŷ, and from which a column
of residuals, et = yt − ŷt was created. Calculation of the
D-W statistic was performed with a function that utilized the
SUMXMY2() function to compute the numerator of Eq. (4),
and the SUMSQ() function to compute the denominator and
obtaining a result of 0.658. The table of critical values for the
D-W statistic is segregated by sample size and the number of
coefficients in the regression model (given as “k” in the tables,
but not to be confused with the k used here to indicate the
number of lags). Given the simple linear regression performed,
there were 2 coefficients (intercept and slope). Therefore, the
α = 0.05 table was consulted for n = 200, k = 2, which resulted
in a lower critical value of 1.758. Given that the test statistic is
less than the lower critical value, the null hypothesis that the
data are not autocorrelated was rejected.
A spreadsheet was also developed to calculate the auto-
correlation function (ACF) for the first 7 lags (ρ̂1 , . . . , ρ̂7 )
with the use of Eq. (5). The resulting bar graph is given
in Figure 4. A curve is also applied to the graph to indi-
cate the expected decrease in the ACF given the relationship
between the ACF value for the first lag and all other lags,
ρ̂k ≈ ρ̂1k . The relatively close association between the bar
chart and the curve provides reasonable assurance that the
measurements constitute an AR(1) process. Furthermore, if
the ACF does not decay appreciably the time series may
be nonstationary and the methods described here cannot be
applied.
Given assurance that the time series contains first-order
autocorrelated values, the methods described here, which were

FIGURE 6. Calculated autocorrelation function (bars) and theoretical decay in the function (solid line) for the data series obtained at Station
1 and Station 3.

Journal of Occupational and Environmental Hygiene November 2015 749

 formulated under the assumption that the time series consti-
tutes an AR(1) process, can be applied. A spreadsheet was
developed to compute ne using Eq. (7). That equation requires
calculations of ρ̂k for all 200 lags. However, as noted above,
each ρ̂k can be estimated given ρ̂k ≈ ρ̂1k , which therefore only
requires the initial calculation of ρ̂1 using Eq. (5) and which
had already been evaluated when determining the ACF. For this
case, ne = 42. The test statistic, t̂, was then calculated using
Eq. 6 after substituting sȳ with sa ȳ resulting in t̂ = −1.259.
The critical t-value for t̂0.05,41 = 1.683. Since |-1.259| < 1.683
we fail to reject the null hypothesis. Note that the p-value
for this test can be computed in Excel using the T.DIST.2T()
function which resulted in 0.215. By comparison, if this test
had been conducted using a standard two-sample t-test, a
p-value = 0.003 would result, which therefore indicates that
the mean of the data series was significantly less than the OEL.
Downloaded by [University of Lethbridge] at 12:29 06 November 2015
TWO-SAMPLE T-TEST EXAMPLE
P eters et al. described the spatial distribution of particles and
gases in a large swine building during winter, spring, and
summer sampling episodes.(21) During each sampling episode,
area samplers consisting of aerosol photometers (Model pDR-
1200, Thermo-Electron Corp., Waltham, MA) were placed in
the building to record aerosol concentration levels at several
locations throughout the building. One of the sampling stations
(Station 1) was placed near the air inlet to the tunnel-ventilated
building, and another station (Station 3) was placed near the
exhaust end of the building. Therefore, aerosol concentrations
measured at Station 3 were expected to be higher than those
measured at Station 1. To provide an example of a t-test that
utilizes the methods described here, the mean levels of aerosol
concentrations recorded at the two stationary sites sampled
during the winter were compared.
During that study the photometers were set to record with
a 10-sec sampling interval. However, wintertime ventilation
flow rates were low; estimated to produce at most 6 air changes
per hour, or τ = 10 min. Therefore, with regard to the sample-
interval guideline described previously, a spreadsheet was used
to average every 6 measurements to produce a series with a
1-min sample interval. The averaged 1-min measurements
made at each station over a 4-hr sample period (n = 240)
are given in Figure 5. As shown in that figure, Station 3
concentrations were, in general, higher than those measured at
Station 1, but there were also considerable fluctuations in both
measurement series over time.
Probability plots of the measurements at each station indi-
cated that the data for both series were approximately lognor-
mally distributed; therefore both series were log-transformed
and subsequent analyses were performed using the log-
transformed time series for each station. The D-W statistic
was calculated using Eq. (4), resulting in d̂ = 0.709 and 0.367
for Stations 1 and 3, respectively. The D-W table value for
n = 240 and α = 0.05 is 1.78 for the lower limit. Given
that both calculated values were less than the lower limit
750 Journal of Occupational and Environmental Hygiene
it can be concluded that both series contain autocorrelated
measurements.
The autocorrelation function (ACF) was then determined
for the first 10 lags for each series. Figure 6 gives the ACF
for each series as well as a curve showing expected values if
successive correlations follow ρ̂k ≈ ρ̂1k . The ACF for Station
3 decays almost exactly as expected, and the decay for Station
1 is not as pronounced as expected but shows a decline repre-
sentative of an AR(1) series and therefore justifies the use of
this method for that series as well. A secondary check on the
suitability of the AR(1) model for these series was conducted
by first performing a regression analysis of yt vs. yt−1 to
determine an estimate of φ from the slope of the resulting
linear equation (as defined in Eq. (3)). For each time point,
the fitted values from the model were then subtracted from
the data values to obtain a series of residuals. The D-W test
was then applied to the residual series with resulting values of
d̂ =2.145 and 2.086 for Stations 1 and 3, respectively. These
high values of the test statistic indicate that the residual series
are not significantly autocorrelated, and therefore meet the
definition of the random component of the AR(1) model, εt .
To perform the t-test, a spreadsheet was developed to com-
pute the pooled estimate of the lag-1 correlation coefficient,
ρ̂p1 , (Eq. (10)) and the pooled estimate of the standard de-
viation, sp , (Eq. (11)), obtaining values of 0.800 and 0.285,
respectively. With ρ̂p1 the equivalent sample size, ne , was
calculated for each data series. Given that both series have
the same original sample size (n = 240) and ρ̂p1 is applied
to obtain the equivalent sample size for both series, the same
value of ne = me = 27 was obtained for both the Station 1
and Station 3 data series. Given these values, the calculated
t-value obtained using Eq. (9) was 2.251. This t-value can be
compared to the table t-value of 2.007 for ne + me − 2 = 52
degrees of freedom, which indicates a significant difference in
the means of the lognormally transformed data series (p-value
= 0.029). By comparison, a p-value = 2.02 × 10−19 would
result if the two series were compared without considering
autocorrelation.
CONCLUSION
A method is presented for performing a t-test on the mean
of a single sample or to compare the means of two
independent samples comprised of autocorrelated data se-
ries. This method utilizes a traditional t-test while compen-
sating for the inflation in the Type-1 error probability resulting
from performing t-tests with autocorrelated data by computing
an “equivalent sample size” applied to the equation needed
to obtain a calculated t-value to compare against the table
t-value. This method relies on the assumption that the data
series have properties that can be adequately described as an
AR(1) process (Eq. (3)). The general steps involved when
conducting this t-test include the following.
1. Evaluating the data series for autocorrelation by deter-
mining the significance of the test statistic, d̂, (Eq. (4))
November 2015
 and visually assessing the nature of the autocorrelation
function (Eq. (5)).
2. Computing the equivalent sample size, ne , using Eq. (7)
where ρ̂k is solved using Eq. (5) for the one-sample case
or Eqs. (10) and (11) for the two-sample case.
3. Determining the test statistic, t̂, using Eq. (6) where sȳ is
replaced with sa ȳ solved using Eq. (8) for the one-sample
case, or determining t̂ using Eq. (9) for the two-sample
case.
4. Testing for significance by comparing the resulting t̂
value to a critical value obtained from a t-table for a
stated α level and ne − 1 degrees of freedom for the
one-sample case, and ne + me − 2 for the two-sample
case.
Spreadsheets developed to perform single-sample and two-
sample t-tests are available upon request from the correspond-
Downloaded by [University of Lethbridge] at 12:29 06 November 2015
ing author.
ACKNOWLEDGMENT
W e would like to thank the anonymous reviewer for
his/her thorough review of this article which resulted in
many meaningful changes to enhance the clarity of our expla-
nations. That reviewer was also responsible for determining
the closed form expression of Eq. (7) that we present in Eq.
(9), for which we are very grateful. We would also like to thank
Mr. Craig Taylor and Dr. Kim Anderson for acquiring the data
displayed in Figure 5.
REFERENCES
1. Roach, S.A.: A most rational basis for air sampling programmes. Ann.
Occup. Hyg. 20:65–84 (1977).
2. Kumagai, S., I. Matsunaga, and Y. Kusaka: Autocorrelation of short-
term and daily average exposure levels in workplaces. Am. Ind. Hyg.
Assoc. J. 54:341–350 (1993).
3. Spear, E.C., S. Selvin, and M. Francis: The influence of averaging time
on the distribution of exposures. Am. Ind. Hyg. Assoc. J. 47:365–368
(1986).
4. George, D.K., M.R. Flynn, and R.L. Harris: Autocorrelation of interday
exposures at an automobile assembly plant. Am. Ind. Hyg. Assoc. J.
56:1187–1194 (1995).
5. Rappaport, S.M.: Assessment of long-term exposures to toxic substances
in air. Ann. Occup. Hyg. 35(1):61–121 (1991).
6. Francis, M., S. Selvin, R. Spear, and S. Rappaport: The effect of
autocorrelation on the estimation of workers’ daily exposures. Am. Ind.
Hyg. Assoc. J. 50:37–43 (1989).
7. Klein-Entink, R.H., W. Fransman, and D.H. Brouwer: How to
statistically analyze nano exposure measurement results: Using an
ARIMA time series approach. J. Nanopart. Res. 13(12):6991–7004
(2011).
8. Box, G.E.P., G.M. Jenkins, and G.C. Reinsel: Time Series Analysis:
Forecasting and Control. Englewood Cliffs, NJ:Prentice Hall, 1994.
9. Shumway, R.H., and D.S. Stoffer: Time Series Analysis and its
Applications: With R Examples. New York:Springer, 2011.
10. Sutradhar, B.C., I.B. MacNeill, and H.F. Sahrmann: Time series
valued experimental designs: one-way analysis of variance with au-
tocorrelated errors. In Time Series and Econometric Modeling, I.B.
MacNeill and G. J. Umphrey (eds.). Dordrecht: D. Reidel Pub. Co., 1987.
pp. 113–129.
Journal of Occupational and Environmental Hygiene
11. Brouwer, D., M. Berges, M.A. Virji W. Fransman, D. Bello, L.
Hodson: Harmonization of measurement strategies for exposure to
manufactured nano-objects; report of a workshop. Ann. Occup. Hyg.
56(1):1–9 (2012).
12. Vandaele, W.: Applied Time Series and Box-Jenkins Models. New York:
Academic Press, 1983. p. 3.
13. Zwiers, F.W., and H. von Storch: Taking serial correlation into account
in tests of the mean. J. Climate 8:336–351 (1995).
14. Cummins, C.: “Critical Values for the Durbin-Watson Test.” [Online]
Available at http://web.stanford.edu/∼clint/bench/dwcrit.htm (accessed
June 25, 2014).
15. Wilks, D.S.: Resampling hypothesis tests for autocorrelated fields. J.
Climate 10(1):65–82 (1997).
16. Thiebaux, H.J., and F.W. Zwiers: The interpretation and estimation of
effective sample size. J. Clim. Appl. Meteorol. 23:800–811 (1984).
17. Lee J. and R. Lund: Equivalent sample sizes in time series regressions.
J. Statist. Comput. Simulation. 78(4):285–297 (2008).
18. Esmen, N.A., and Y. Hammad: Lognormality of environmental sam-
pling data. Environ. Sci. Technol. A 12:29–41 (1977).
19. National Institute for Occupational Safety and Health (NIOSH):
Occupational Exposure Sampling Strategy Manual (DHEW/NIOSH Pub.
no. 77-173). Cincinnati, OH:National Institute for Occupational Safety
and Health, 1977.
20. Male, L.M.: An experimental method for predicting plant yield
response to pollution time series. Atmos. Environ. 16(9):2247–2252
(1982).
21. Peters, T.M., T.R. Anthony, C. Taylor, R. Altmaier, K. Anderson, and
P. T. O’Shaughnessy: Distribution of particle and gas concentrations in
Swine gestation confined animal feeding operations. Ann. Occup. Hyg.
56(9):1080–1090 (2012).
APPENDIX
Notation Definitions
d̂ the Durbin-Watson statistic
εt the normally distributed random component of a mea-
surement at time t
et the difference yt − ŷt at time t
ξt the lognormally distributed random component of a mea-
surement at time t
k the number of lags (sample periods) from the time, t
me the equivalent sample size of a series with mtotal mea-
surements
ne the equivalent sample size of a series with ntotal mea-
surements
n the total number of measurements in a time series of
measurements
N room air changes per hour
φ the autocorrelation coefficient
φ̂ the natural estimate of φ
r Pearson correlation coefficient
ρk the correlation of values of a time series with the values
from that time series lagged by k time units
ρ̂k the natural estimate of ρk
ρ̂p1 the pooled estimate of the lag-1 correlation coefficient
for two time series
σy the standard deviation of the time series
σȳ the standard error of the time series
sy the natural estimate of σy
November 2015 751
 sȳ the natural estimate of σȳ μg the geometric mean of a lognormally distributed time
sa ȳ the estimate of sȳ for an autocorrelated time series series
sp the pooled estimate of the standard deviation of two time y a time series of measurements
series yt the value of a time series at time t
t a discrete point in time at which a sample was taken ŷ the predicted value of y resulting from linear regression
t time interval between consecutive samples analysis at time t
t̂ the t-test test statistic ȳ the natural estimate of μ
τ room residence time zt the value of a lognormally distributed time series at
μ the mean of a time series time t
Downloaded by [University of Lethbridge] at 12:29 06 November 2015

752 Journal of Occupational and Environmental Hygiene November 2015