Statistical Tests for the Order of a Regression Model Based on a Single Series of Observations

• Date: 2000
• Main Authors: Shlepakov, D. V., Шлепаков, Д. В.
• Format: Article
• Language: Russian; English
• Published: Institute of Mathematics, NAS of Ukraine 2000
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/4521
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

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) ser...