ArimaModel.GetDurbinWatsonStatistic Method

public double GetDurbinWatsonStatistic()

Public Function GetDurbinWatsonStatistic As Double

public:
double GetDurbinWatsonStatistic()

member GetDurbinWatsonStatistic : unit -> float 

Return Value

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.

Reference