论文信息 - Space-Time ARMA Modeling With Contemporaneously Correlated Innovations

Space-Time ARMA Modeling With Contemporaneously Correlated Innovations

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.

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

[1] Stuart Jay Deutsch,et al. Variance of the Sample Space-time Autocorrelation Function , 1981 .

[2] Stuart Jay Deutsch,et al. Variance of the Sample Space-Time Correlation Function of Contemporaneously Correlated Variables , 1981 .

[3] P. Pfeifer,et al. Identification and Interpretation of First Order Space-Time ARMA Models , 1980 .

[4] P. Pfeifer,et al. A Three-Stage Iterative Procedure for Space-Time Modeling , 1980 .

[5] P. Pfeifer,et al. Independence and sphericity tests for the residuals of space-time arma models , 1980 .

[6] Phillip E. Pfeifer. Spatial-dynamic modeling , 1979 .

[7] Box Ge,et al. Time series analysis: forecasting and control rev. ed. , 1976 .

[8] R. Bennett,et al. The Representation and Identification of Spatio-Temporal Systems: An Example of Population Diffusion in North-West England , 1975 .

[9] J. Oeppen. The identification of regional forecasting models using space-time correlation , 1975 .

[10] J. K. Ord,et al. Space-time modelling with an application to regional forecasting , 1975 .

[11] Michael D. Geurts,et al. Time Series Analysis: Forecasting and Control , 1977 .

[12] W. Tobler. A Computer Movie Simulating Urban Growth in the Detroit Region , 1970 .

[13] T. W. Anderson. An Introduction to Multivariate Statistical Analysis , 1959 .

[14] Thomas P. Wolfe. Of Time and the River , 1935 .