Variance of the Sample Space-Time Autocorrelation Function
Phillip E. Pfeifer, Stuart Jay Deutsch
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1981 · Volume 43 · Issue 1
DOI: 10.1111/j.2517-6161.1981.tb01144.x
Abstract
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 modelling procedure, such a test is based on the sample space-time autocorrelation function. This paper developes approximate variances of the sample space-time autocorrelation function when the underlying process is white noise, which are needed to test significance of the observed autocorrelations.
Keywords
space-time arma models, space-time autocorrelation function, diagnostic checking, temporal independence
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