On the distribution of independence test for the residuals of space-time arma models |
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| Authors: | B Nagarsenker P.B Nagarsenker |
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| Affiliation: | 1. Department of Mathematics , Air Force Institute of Technology , Wright-Patterson, OH;2. Department of Mathematics , Duquesne University , PA, 15213, Pittsburgh |
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| Abstract: | The procedure for building space-time autoregressive moving average (STARMA) models depends on the form of the variance-covariance matrix G of the underlying errors (see Pfeifer Deutsch (1980a,c)). In this paper the distribu¬tion of the statistic for testing the hypothesis that G is diagonal is obtained in a very convenient computational form. A table of critical values for the test is given Comparison is made with the approximate values obtained by Pfeifer Deutsch (1980c) |
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| Keywords: | independence teat STARMA apace-time ARMA apace-time modeling incomplete Beta function |
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