On the asymptotic behavior of the Durbin-Watson statistic for ARX processes in adaptive tracking

DOI10.1002/ACS.2424MaRDI QIDQ2802047zbMATH OpenOpenAlexFDO

Authors Bernard Bercu, Bruno Portier, Victor Vazquez

Publication date 22 April 2016

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.4677

zbMATH Keywords

central limit theoremestimationadaptive controlalmost sure convergenceDurbin-Watson statisticstatistical test for serial autocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

Abstract: A wide literature is available on the asymptotic behavior of the Durbin-Watson statistic for autoregressive models. However, it is impossible to find results on the Durbin-Watson statistic for autoregressive models with adaptive control. Our purpose is to fill the gap by establishing the asymptotic behavior of the Durbin Watson statistic for ARX models in adaptive tracking. On the one hand, we show the almost sure convergence as well as the asymptotic normality of the least squares estimators of the unknown parameters of the ARX models. On the other hand, we establish the almost sure convergence of the Durbin-Watson statistic and its asymptotic normality. Finally, we propose a bilateral statistical test for residual autocorrelation in adaptive tracking.

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Cited in

(4)

• Further results on the h-test of Durbin for stable autoregressive processes
• A Durbin–Watson serial correlation test for ARX processes via excited adaptive tracking
• Robust identification of OE model with constrained output using optimal input design
• On the almost sure central limit theorem for ARX processes in adaptive tracking

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