Currently displaying 1 – 2 of 2

Showing per page

Order by Relevance | Title | Year of publication

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

Bernard BercuFrédéric Proïa — 2013

ESAIM: Probability and Statistics

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 with the driven noise....

Moderate deviations for the Durbin–Watson statistic related to the first-order autoregressive process

S. Valère Bitseki PendaHacène DjelloutFrédéric Proïa — 2014

ESAIM: Probability and Statistics

The purpose of this paper is to investigate moderate deviations for the Durbin–Watson statistic associated with the stable first-order autoregressive process where the driven noise is also given by a first-order autoregressive process. We first establish a moderate deviation principle for both the least squares estimator of the unknown parameter of the autoregressive process as well as for the serial correlation estimator associated with the driven noise. It enables us to provide a moderate deviation...

Page 1

Download Results (CSV)