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Article: On time-reversibility of multivariate linear processes
| Title | On time-reversibility of multivariate linear processes |
|---|---|
| Authors | |
| Keywords | Moving average multivariate linear process time-reversibility |
| Issue Date | 2005 |
| Publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ |
| Citation | Statistica Sinica, 2005, v. 15 n. 2, p. 495-504 How to Cite? |
| Abstract | We study the time-reversibility of multivariate linear processes, introducing a necessary and sufficient condition related to linear transforms of the multivariate linear process. Conditions analogous to Cheng's for univariate non-Gaussian linear processes are also explored; these are in terms of the noise distribution and the model parameters. The exploration results in an easily verifiable set of necessary and sufficient conditions for a multivariate non-Gaussian linear process driven by a univariate noise, leaving the case of multivariate noise as a challenging open problem. |
| Persistent Identifier | http://hdl.handle.net/10722/45341 |
| ISSN | 2021 Impact Factor: 1.330 2020 SCImago Journal Rankings: 1.240 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Tong, HW | en_HK |
| dc.contributor.author | Zhang, ZQ | en_HK |
| dc.date.accessioned | 2007-10-30T06:23:18Z | - |
| dc.date.available | 2007-10-30T06:23:18Z | - |
| dc.date.issued | 2005 | en_HK |
| dc.identifier.citation | Statistica Sinica, 2005, v. 15 n. 2, p. 495-504 | en_HK |
| dc.identifier.issn | 1017-0405 | en_HK |
| dc.identifier.uri | http://hdl.handle.net/10722/45341 | - |
| dc.description.abstract | We study the time-reversibility of multivariate linear processes, introducing a necessary and sufficient condition related to linear transforms of the multivariate linear process. Conditions analogous to Cheng's for univariate non-Gaussian linear processes are also explored; these are in terms of the noise distribution and the model parameters. The exploration results in an easily verifiable set of necessary and sufficient conditions for a multivariate non-Gaussian linear process driven by a univariate noise, leaving the case of multivariate noise as a challenging open problem. | en_HK |
| dc.format.extent | 124807 bytes | - |
| dc.format.extent | 503755 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language | eng | en_HK |
| dc.publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ | en_HK |
| dc.subject | Moving average | en_HK |
| dc.subject | multivariate linear process | en_HK |
| dc.subject | time-reversibility | en_HK |
| dc.title | On time-reversibility of multivariate linear processes | en_HK |
| dc.type | Article | en_HK |
| dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=15&issue=2&spage=495&epage=504&date=2005&atitle=On+time-reversibility+of+multivariate+linear+processes | en_HK |
| dc.description.nature | published_or_final_version | en_HK |
| dc.identifier.scopus | eid_2-s2.0-20444499071 | - |
| dc.identifier.issnl | 1017-0405 | - |