高维数据下线性模型的序列相关检验

Testing Serial Correlation in Linear Model with High Dimensional Data

主要考虑了在高维数据下线性模型的序列相关检验。估计了线性模型的参数,建立了对线性模型随机误差进行序列相关检验的V_(T,P)检验统计量,并得到了原假设下检验统计量的渐近分布。通过数值模拟研究了统计量在有限样本下的表现。

In this paper,we investigate the test for serial correlation in linear model with high dimensional data.First,the parameters of the linear models are estimated.Second,we establish the V_(T,P)statistics to test the serial correlation of random errors in linear models,and further derive the asymptoticdistribution under null hypothesis.Finally,the properties of statistics are studied by the simulation.