Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
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Publication:3484230
DOI10.2307/2290002zbMath0704.62084MaRDI QIDQ3484230
Robert Kohn, Thomas S. Shively, Craig F. Ansley
Publication date: 1990
Full work available at URL: https://doi.org/10.2307/2290002
Kalman filter; error tolerance; Durbin-Watson statistic; characteristic function inversion; bivariate problems; ratio of quadratic forms; invariant test statistics; independent normals; time series regression residuals
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C99: Probabilistic methods, stochastic differential equations
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