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

DOI10.1051/ps/2012005zbMath1395.62263arXiv1104.3328OpenAlexW2964082508MaRDI QIDQ5408482

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) Central limit and other weak theorems (60F05) Asymptotic properties of parametric tests (62F05)

Related Items (11)

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 ⋮ Moderate deviations for the mildly stationary autoregressive model with dependent errors ⋮ Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise ⋮ Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators ⋮ 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 ⋮ Model-free tests for series correlation in multivariate linear regression ⋮ On the Bickel–Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes

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