Independence and Sphericity Tests for the Residuals of Space-Time Arma Models

• NCJ Number: 88448
• Journal: Communications in Statistics Part B - Simulation and Computation Volume: 9 Issue: 5 Dated: (1980) Pages: 533-549
• Author(s): P E Pfeifer; S J Deutsch
• Date Published: 1980
• Length: 17 pages
• Grant Number(s): 75-NI-99-0091
• Sponsoring Agency: National Institute of Justice (NIJ); US Dept of Justice NIJ Pub
• Publication Format: Article
• Publication Type: Report (Study/Research)
• Language: English
• Country: United States of America

Annotation

The mechanics of the procedure for building space-time autoregressive moving average (STARMA) models is dependent upon the form of 'G,' the variance-covariance matrix of the underlying errors.

Abstract

This paper presents large sample tests of the hypotheses that 'G' is diagonal and that 'G' equals o-squared times I. Tables of the critical values for these tests are constructed. Formulas and 20 references are included. (Author abstract modified)