• Corpus ID: 88511830

Further results on the H-Test of Durbin for stable autoregressive processes

@inproceedings{Proia2012FurtherRO,
  title={Further results on the H-Test of Durbin for stable autoregressive processes},
  author={Fr'ed'eric Proia},
  year={2012}
}
The purpose of this paper is to investigate the asymptotic behavior of the Durbin-Watson statistic for the stable p−order autoregressive process when the driven noise is given by a first-order autoregressive process. It is an extension of the previous work of Bercu and Pröıa devoted to the particular case p = 1. We establish the almost sure convergence and the asymptotic normality for both the least squares estimator of the unknown vector parameter of the autoregressive process as well as for… 
A Durbin–Watson serial correlation test for ARX processes via excited adaptive tracking
TLDR
The introduction of a persistent excitation in the adaptive tracking control allows us to build a bilateral statistical test based on the well-known Durbin–Watson statistic leading to a powerful serial correlation test.

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