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
相关论文
共 50 条
  • [21] Testing for non-linear and time irreversible probabilistic structure in high frequency financial time series data
    Wild, Phillip
    Foster, John
    Hinich, Melvin J.
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 2014, 177 (03) : 643 - 659
  • [22] Time-Reversibility in Chaotic Problems Numerical Solution
    Karimov, A. I.
    Karimov, T. I.
    Butusov, D. N.
    PROCEEDINGS OF THE 2016 IEEE NORTH WEST RUSSIA SECTION YOUNG RESEARCHERS IN ELECTRICAL AND ELECTRONIC ENGINEERING CONFERENCE (ELCONRUSNW), 2016, : 225 - 230
  • [23] Time-Reversibility, Causality and Compression-Complexity
    Kathpalia, Aditi
    Nagaraj, Nithin
    ENTROPY, 2021, 23 (03) : 1 - 21
  • [24] Assessing time-reversibility under minimal assumptions
    Psaradakis, Zacharias
    JOURNAL OF TIME SERIES ANALYSIS, 2008, 29 (05) : 881 - 905
  • [25] Bootstraps for time series
    Bühlmann, P
    STATISTICAL SCIENCE, 2002, 17 (01) : 52 - 72
  • [26] Simulation of time reversibility of Lamb wave in symmetric composite laminate
    Kulkarni, Girish
    Mitra, Mira
    INTERNATIONAL JOURNAL OF MECHANICAL SCIENCES, 2012, 54 (01) : 277 - 286
  • [27] A non-linear model applied to the precipitation time series of San Fernando, Cadiz
    Escobar, Daniela
    Fenoy, Mar
    Yolanda Luna, Maria
    Luisa Martin, Maria
    Morata, Ana
    Pascual, Alvara
    INTERNATIONAL WORK-CONFERENCE ON TIME SERIES (ITISE 2014), 2014, : 793 - 803
  • [28] Some weighted mixed portmanteau tests for diagnostic checking in linear time series models
    Anvar, P. Muhammed
    Balakrishna, N.
    JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2018, 88 (15) : 3000 - 3017
  • [29] Data tilting for time series
    Hall, P
    Yao, QW
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2003, 65 : 425 - 442
  • [30] Misspecified prediction for time series
    Choi, IB
    Taniguchi, M
    JOURNAL OF FORECASTING, 2001, 20 (08) : 543 - 564
12345