Variance of the Sample Space-Time Autocorrelation Function

• NCJ Number: 88473
• Journal: Journal of the Royal Statistical Society, Series B (Methodological) Volume: 43 Issue: 1 Dated: (1981) Pages: 28-33
• Author(s): P E Pfeifer; S J Deutsch
• Date Published: 1981
• Length: 6 pages
• Grant Number(s): 78-NI-AX-0040; 75-NI-99-091
• Sponsoring Agency: National Institute of Justice (NIJ); US Dept of Justice NIJ Pub
• Publication Format: Article
• Language: English
• Country: United Kingdom
• Note: Reprint

Annotation

An important part of the diagnostic checking of space time autoregressive moving average (STARMA) models is testing the temporal independence of the residuals.

Abstract

In the context of the three-stage modeling procedure, such a test is based on the sample space time autocorrelation function. This paper develops approximate variances of the sample space time autocorrelation function when the underlying process is white noise. Formulas, tables, and 10 references are supplied. (Author abstract modified)