A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process

DOI10.1051/PS/2012005MaRDI QIDQ5408482zbMATH OpenOpenAlexFDO

Authors Bernard Bercu, Frédéric Proïa

Publication date 10 April 2014

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.3328

zbMATH Keywords

autoregressive processresidual autocorrelationDurbin-Watson statisticstatistical test for serial correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Central limit and other weak theorems (60F05)

Abstract: The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the driven noise is also given by a first-order autoregressive process. We establish the almost sure convergence and the asymptotic normality for both the least squares estimator of the unknown parameter of the autoregressive process as well as for the serial correlation estimator associated to the driven noise. In addition, the almost sure rates of convergence of our estimates are also provided. It allows us to establish the almost sure convergence and the asymptotic normality for the Durbin-Watson statistic. Finally, we propose a new bilateral statistical test for residual autocorrelation.

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Cited in

(18)

• Model-free tests for series correlation in multivariate linear regression
• Testing for residual correlation of any order in the autoregressive process
• On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
• Further results on the \(h\)-test of Durbin for stable autoregressive processes
• Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes
• MODERATE DEVIATIONS FOR THE DURBIN-WATSON STATISTIC ASSOCIATED TO THE STABLE p-ORDER AUTOREGRESSIVE PROCESS
• Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE
• scientific article; zbMATH DE number 2104326 (Why is no real title available?)
• scientific article; zbMATH DE number 4090573 (Why is no real title available?)
• On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes
• On the asymptotic behavior of the Durbin-Watson statistic for ARX processes in adaptive tracking
• The Durbin-Watson statistic to estimate the instantaneous variance of non-stationary stochastic processes with ARMA structure for noise process
• Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
• Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process
• A Durbin–Watson serial correlation test for ARX processes via excited adaptive tracking
• Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise
• Moderate deviations for the mildly stationary autoregressive model with dependent errors

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