论文信息 - Variance of the Sample Space-time Autocorrelation Function

Variance of the Sample Space-time Autocorrelation Function

SUMMARY 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.

Stuart Jay Deutsch | Phillip E. Pfeifer | P. Pfeifer | S. Deutsch | P. E. Pfeifer

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