Tests for fourth order autoregressive processes.

Upper and lower bounds were determined for a variation of Schmidt's statistic using Imhoff's distribution for quadratic forms in normal variables. This statistic is able to detect a fourth order autoregressive disturbance of the form: Ɛ(ʈ)=ƿ(1)Ɛ(ʈ-1)+ƿ(4)Ɛ(ʈ-4)+ƞ(ʈ) in the general model Y=Xβ+Ɛ. To correct for this disturbance and thus yield efficient regression estimates, a data transformation was derived using the inverse of the variance-covariance matrix as defined by Siddiqui.

Department dc:contributor.department

Operations Research

Year dc:date.issued

1986

Author dc:creator

• Foster, Robert L. Jr.

Advisor dc:contributor.advisor

• Boger, Dan C.

Statement dc:rights

• This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.

Language dc:language.iso

en_US

Handle dc:identifier.uri

https://hdl.handle.net/10945/22145

OAI identifier oai:identifier

oai:calhoun.nps.edu:10945/22145