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

DOI10.1051/PS/2012005zbMATH Open1395.62263arXiv1104.3328OpenAlexW2964082508MaRDI QIDQ5408482FDOQ5408482

Authors: Bernard Bercu, Frédéric Proïa 

Publication date: 10 April 2014

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

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.

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

Recommendations

• Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process
• MODERATE DEVIATIONS FOR THE DURBIN-WATSON STATISTIC ASSOCIATED TO THE STABLE p-ORDER AUTOREGRESSIVE PROCESS
• Asymptotic expansion for the distribution of the discriminant function in the first order autoregressive processes
• Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process
• Asymptotic distributions of error density estimators in first-order autoregressive models
• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE
• Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

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)

Cited In (18)

• Further results on the \(h\)-test of Durbin for stable autoregressive processes
• Title not available (Why is that?)
• The Durbin-Watson statistic to estimate the instantaneous variance of non-stationary stochastic processes with ARMA structure for noise process
• A Durbin–Watson serial correlation test for ARX processes via excited adaptive tracking
• On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes
• Testing for residual correlation of any order in the autoregressive process
• On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes
• Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
• Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise
• Moderate deviations for the mildly stationary autoregressive model with dependent errors
• MODERATE DEVIATIONS FOR THE DURBIN-WATSON STATISTIC ASSOCIATED TO THE STABLE p-ORDER AUTOREGRESSIVE PROCESS
• On the asymptotic behavior of the Durbin-Watson statistic for ARX processes in adaptive tracking
• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE
• Model-free tests for series correlation in multivariate linear regression
• 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

This page was built for publication: A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5408482)