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arXiv · 1407.3940

A Durbin-Watson serial correlation test for ARX processes via excited adaptive tracking

Bernard Bercu·Bruno Portier·Victor Vazquez
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Abstract

We propose a new statistical test for the residual autocorrelation in ARX adaptive tracking. The introduction of a persistent excitation in the adaptive tracking control allows us to build a bilateral statistical test based on the well-known Durbin-Watson statistic. We establish the almost sure convergence and the asymptotic normality for the Durbin-Watson statistic leading to a powerful serial correlation test. Numerical experiments illustrate the good performances of our statistical test procedure.

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Bernard Bercu, Bruno Portier, Victor Vazquez. 2014-07-15. A Durbin-Watson serial correlation test for ARX processes via excited adaptive tracking. https://arxiv.org/abs/1407.3940

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