Further results on the \(h\)-test of Durbin for stable autoregressive processes

DOI10.1016/j.jmva.2013.03.009zbMath1359.62380arXiv1203.1871OpenAlexW2963751837MaRDI QIDQ391625

Frédéric Proïa

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.1871

zbMATH Keywords

residual autocorrelationDurbin-Watson statisticstable autoregressive processstatistical test for serial correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Parametric hypothesis testing (62F03) Stable stochastic processes (60G52) Asymptotic properties of parametric tests (62F05)

Related Items (7)

MODERATE DEVIATIONS FOR THE DURBIN-WATSON STATISTIC ASSOCIATED TO THE STABLE p-ORDER AUTOREGRESSIVE PROCESS ⋮ Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise ⋮ On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes ⋮ Testing for residual correlation of any order in the autoregressive process ⋮ A Durbin–Watson serial correlation test for ARX processes via excited adaptive tracking ⋮ On the asymptotic behavior of the Durbin-Watson statistic for ARX processes in adaptive tracking ⋮ On the Bickel–Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes

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