Abstract
We construct a test for the determination of the order of a linear regression model on the basis of a single series of observations in the case of normally distributed noise with mean value zero and bounded variance. We propose a new equilibrium statistic for the model with infinite (but single) series of observations; by using this statistic, we construct a test for the determination of the order of this model.
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REFERENCES
G. A. F. Seber, Linear Regression Analysis [Russian translation], Mir, Moscow (1980).
M. G. Kendall and A. Stuart, The Advanced Theory of Statistics [Russian translation], Nauka, Moscow (1973).
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Shlepakov, D.V. Statistical Tests for the Order of a Regression Model Based on a Single Series of Observations. Ukrainian Mathematical Journal 52, 1315–1320 (2000). https://doi.org/10.1023/A:1010321625047
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DOI: https://doi.org/10.1023/A:1010321625047