Journal of Time Series Analysis

On Hypotheses Testing for the Selection of Spatio‐Temporal Models

Journal Article

Abstract.  Several models have been proposed in recent years for analysing spatial data and also, to some extent, spatio‐temporal data. One of the important problems, namely the choice of an appropriate model for describing real data sets, remains unsolved. Here we consider the analysis of spatio‐temporal processes from which observations over space and time are available. We propose statistical tests for discriminating between space–time autoregressive processes and multivariate autoregressive processes. The sampling properties of the proposed tests are considered. We illustrate the methods with a real example. We use the above tests to find the best model to describe spatio‐temporal variations of hourly carbon monoxide measurements at four locations in London in January 2004.

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