A Generalization of Durbin-Watson Statistic
Keywords:Additive outlier, AR(1), Predictor, Prediction interval, Unit toot test
AbstractTwo generalizations of the Durbin-Watson Statistic d, for testing that the serial correlation, in a given univariate normal regression model, is zero, to its multivariate counter part, are proposed. In the univariate case the moments of d are obtained in terms of generalized gamma functions. Our methodology is based on the generalized quadratic form central Wishart distribution.
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