Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
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Publication:3484230
DOI10.2307/2290002zbMath0704.62084OpenAlexW4249757640MaRDI QIDQ3484230
Thomas S. Shively, Craig F. Ansley, Robert Kohn
Publication date: 1990
Full work available at URL: https://doi.org/10.2307/2290002
Kalman filtererror toleranceDurbin-Watson statisticcharacteristic function inversionbivariate problemsratio of quadratic formsinvariant test statisticsindependent normalstime series regression residuals
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)
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