Tests for fourth order autoregressive processes.

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Authors
Foster, Robert L. Jr.
Subjects
autocorrelation
AR(4)
Advisors
Boger, Dan C.
Date of Issue
1986-09
Date
September 1986
Publisher
Language
en_US
Abstract
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.
Type
Thesis
Description
URI
https://hdl.handle.net/10945/22145
Series/Report No
Department
Operations Research
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
Sponsors
Funder
Format
77 p.
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
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.
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