function DurbinWatson(const Residuals: TVec): Double;
Calculates the Durbin-Watson statistic
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Residuals | TVec |
Returns: Double
Remarks:
The Durbin-Watson tests for presence of correlation between consecutive residuals. We are testing hypothesis:
- H0: The residuals are not correlated.
- HA: Residuals are autocorrelated.
The test statistics ranges from 0 to 4 where d value of means:
- 0 : autocorrelation not preset.
- < 2: positive serial correlation.
- > 2: negative serial correlation.
A perfect result is a value equal to two. Value less than 1.5 or bigger than 2.5 indicates an autocorrelation problem.