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Independence and sphericity tests for the residuals of space-time arma models

 

作者: Phillip E. Pfeifer,   Stuart Jay. Deutsch,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1980）
卷期: Volume 9, issue 5  

页码: 533-549

 

ISSN:0361-0918

 

年代: 1980

 

DOI:10.1080/03610918008812172

 

出版商: Marcel Dekker, Inc.

 

关键词: space-time ARMA;sphericity tests;space-time modeling;independence tests

 

数据来源: Taylor

 

摘要:

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.This paper presents large sample tests of the hypotheses that G is diagonal and that G equals o2I. Tables of the critical values for these tests are constructed

 

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