Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression

DOI10.2307/2290002zbMath0704.62084OpenAlexW4249757640MaRDI QIDQ3484230

Thomas S. Shively, Craig F. Ansley, Robert Kohn

Publication date: 1990

Full work available at URL: https://doi.org/10.2307/2290002

zbMATH Keywords

Kalman filtererror toleranceDurbin-Watson statisticcharacteristic function inversionbivariate problemsratio of quadratic formsinvariant test statisticsindependent normalstime series regression residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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