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                            Library & Multimedia
 Space-Time ARMA Modeling With Contemporaneously Correlated Innovations
NCJ Number
              88440
Journal

*Technometrics* Volume: 23 Issue: 4 Dated: (November 1981) Pages: 401-409
Author(s)
          S J Deutsch;
                        P E Pfeifer
Date Published

1981
Length
              9 pages
Annotation
              This paper presents a comprehensive model-building procedure for the building of STARMA (Space-Time Autoregressive Moving Average) models.
Abstract
              This procedure explicitly considers the possibility that 'G,' the covariance matrix of the innovations, might not be spherical. (G equals O-squared times I. The cases of diagonal 'G,' wherein the innovations are independent between sites but are allowed to have unequal variances, and general '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 examples. Figures, tables, and 18 references are included. (Author abstract modified)
      
  
          Additional Details
Grant Number(s)
        75-NI-AX-99-0091
                                78-NI-AX-0040


  
  
        
  Agencies
        NIJ-Sponsored


  
  
        
  Publication Type
        Report (Study/Research)
    
  
  
Date Published: January 1, 1981
    
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