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最小二乘回归中的一种新自相关检验AI 解读

The Durbin-Watson test on autocorrelation is based on the least squares residual vector. It is well known that the distribution of this vector depends upon the regression matrix which implies that tabulation of the test statistic's significance points is senseless. The best linear unbiased scalar test circumvents this difficulty and gives a test statistic whose distribution does not depend upon the regression matrix; it is an exact test. However, some objections can be made…

最小二乘回归中一种新的自相关检验AI 解读

The Durbin-Watson test on autocorrelation is based on the least squares residual vector. It is well known that the distribution of this vector depends upon the regression matrix which implies that tabulation of the test statistic's significance points is senseless. The best linear unbiased scalar test circumvents this difficulty and gives a test statistic whose distribution does not depend upon the regression matrix; it is an exact test. However, some objections can be made…