发帖
雷达卡
摘要翻译：
本文的目的是对Durbin-Watson统计量的渐近性态进行深入的分析。我们把注意力集中在一阶自回归过程中，其中驱动噪声也是由一阶自回归过程给出的。建立了自回归过程未知参数的最小二乘估计和与驱动噪声相关的串行相关估计的几乎肯定收敛性和渐近正态性。此外，我们的估计也提供了几乎肯定的收敛速度。它使我们能够建立Durbin-Watson统计量的几乎肯定收敛性和渐近正态性。最后，我们提出了一种新的残差自相关的双边统计检验。
---
英文标题：
《A sharp analysis on the asymptotic behavior of the Durbin-Watson
statistic for the first-order autoregressive process》
---
作者：
Bernard Bercu, Frederic Proia
---
最新提交年份：
2011
---
分类信息：
一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
--
---
英文摘要：
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.
---
PDF链接：
https://arxiv.org/pdf/1104.3328
京公网安备 11010802022788号
