Showing math.STShow all
3 papers · 1 filter
math.ST2013
Testing for residual correlation of any order in the autoregressive process
Frédéric Proïa
We are interested in the implications of a linearly autocorrelated driven noise on the asymptotic behavior of the usual least squares estimator in a stable autoregressive process.…
math.ST2012
Further results on the H-Test of Durbin for stable autoregressive processes
Frédéric Proïa
The purpose of this paper is to investigate the asymptotic behavior of the Durbin-Watson statistic for the stable order autoregressive process when the driven noise is given by…
math.ST2011
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
Bernard Bercu, Frederic Proia
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…