Returns the Durbin-Watson statistic for the specified residuals.
Extreme.Numerics.Net40 (in Extreme.Numerics.Net40.dll) Version: 6.0.16073.0 (6.0.17150.0)
public static double DurbinWatsonStatistic(
this Vector<double> residuals
Public Shared Function DurbinWatsonStatistic (
residuals As Vector(Of Double)
) As Double
static double DurbinWatsonStatistic(
static member DurbinWatsonStatistic :
residuals : Vector<float> -> float
- Type: Extreme.MathematicsVectorDouble
Vector of residuals.
A value between 0 and 4.
In Visual Basic and C#, you can call this method as an instance method on any object of type VectorDouble
. When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic)
or Extension Methods (C# Programming Guide)
The Durbin-Watson statistic is an indication of the autocorrelation of the residuals of a regression
calculation. It can take on values between 0 and 4.
A value close to zero indicates a positive autocorrelation between the residuals.
A value close to 4 indicates a negative autocorrelation between the residuals.
A value around 2 indicates there is no significant autocorrelation.
For other values, a table of critical values of the Durbin-Watson statistic should be consulted.
The exact critical value for the Durbin-Watson distribution depends on the details
of the regression problem itself and is difficult to calculate. For this reason, approximations
are used that give upper and lower bounds. If the Durbin-Watson statistic lies between
the bounds, the test is inconclusive.
Supported in: 6.0