On Time Reversibility of Linear Time Series

被引：0
|
作者：
Sharifdoust, M. [1 ]
Mahmoodi, S. [2 ]
机构：
[1] Islamic Azad Univ, Dept Math, Khomeinishahr Branch, Math, Esfahan, Iran
[2] Isfahan Univ Technol, Dept Math Sci, Math, Esfahan, Iran
来源：
JOURNAL OF MATHEMATICAL EXTENSION | 2012年 / 6卷 / 04期
关键词：
Linear time series; time reversibility; stationary process; testing hypothesis;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper we suggest a procedure for testing reversibility of time series. Our approach is based on a necessary and sufficient condition for time reversibility of linear models. An attractive feature of the procedure is that in converse with other approaches it doesn't require important assumptions, especially existence of moments of order higher than two. Our simulation confirms the procedure and some empirical examples are given.
引用
收藏
页码：33 / 47
页数：15
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