Journal article
A note on time-reversibility of multivariate linear processes
Biometrika, Vol.93(1), pp.221-227
03/2006
DOI: 10.1093/biomet/93.1.221
Abstract
We derive some readily verifiable necessary and sufficient conditions for a multivariate non-Gaussian linear process to be time-reversible, under two sets of conditions on the contemporaneous dependence structure of the innovations. One set of conditions concerns the case of independent-component innovations, in which case a multivariate non-Gaussian linear process is time-reversible if and only if the coefficients consist of essentially asymmetric columns with column-specific origins of symmetry or symmetric pairs of columns with pair-specific origins of symmetry. On the other hand, for dependent-component innovations plus other regularity conditions, a multivariate non-Gaussian linear process is time-reversible if and only if the coefficients are essentially symmetric about some origin.
Details
- Title: Subtitle
- A note on time-reversibility of multivariate linear processes
- Creators
- Kung-Sik Chan - University of IowaLop-Hing Ho - Wichita State UniversityHowell Tong - Wichita State University
- Resource Type
- Journal article
- Publication Details
- Biometrika, Vol.93(1), pp.221-227
- Publisher
- Oxford University Press
- DOI
- 10.1093/biomet/93.1.221
- ISSN
- 0006-3444
- eISSN
- 1464-3510
- Language
- English
- Date published
- 03/2006
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9984257614602771
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