  We investigate the hot hand phenomenon using data on 110,513 free throws
taken in the National Basketball Association (NBA). As free throws occur at
unevenly spaced time points within a game, we consider a state-space model
formulated in continuous time to investigate serial dependence in players'
success probabilities. In particular, the underlying state process can be
interpreted as a player's (latent) varying form and is modelled using the
Ornstein-Uhlenbeck process. Our results support the existence of the hot hand,
but the magnitude of the estimated effect is rather small.
