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

NCJ Number
S J Deutsch, P E Pfeifer
Date Published
January 1980
17 pages
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 o-squared times I. Tables of the critical values for these tests are constructed. Formulas and 20 references are included. (Author abstract modified)

Date Published: January 1, 1980