Independence and sphericity tests for the residuals of space-time arma models
- 1 January 1980
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 9 (5) , 533-549
- https://doi.org/10.1080/03610918008812172
Abstract
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 o2 I. Tables of the critical values for these tests are constructedKeywords
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