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Variance of the Sample Space-Time Autocorrelation Function

NCJ Number
Journal of the Royal Statistical Society, Series B (Methodological) Volume: 43 Issue: 1 Dated: (1981) Pages: 28-33
Date Published
6 pages

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


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)

Date Published: January 1, 1981