Space-Time ARMA Modeling with Contemporaneously Correlated Innovations

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Abstract
A comprehensive model-building procedure is presented for the building of space-time ARMA models. This procedure explicitly considers the possibility that G, the covariance matrix of the innovations, might not be spherical (G = σ2 I). The cases of diagonal G, wherein the innovations are independent between sites but are allowed to have unequal variances, and genera1 G, wherein the innovations may in fact be contemporaneously correlated, are examined. Model identification, estimation, and diagnostic checking are described, and tests of the assumptions concerning the form of G are incorporated into the modeling procedure. The procedure is illustrated through two substantive examples.

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