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Article: On time-reversibility of multivariate linear processes

TitleOn time-reversibility of multivariate linear processes
Authors
KeywordsMoving average
multivariate linear process
time-reversibility
Issue Date2005
PublisherAcademia 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?
AbstractWe 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 Identifierhttp://hdl.handle.net/10722/45341
ISSN
2015 Impact Factor: 0.838
2015 SCImago Journal Rankings: 2.292

 

DC FieldValueLanguage
dc.contributor.authorTong, HWen_HK
dc.contributor.authorZhang, ZQen_HK
dc.date.accessioned2007-10-30T06:23:18Z-
dc.date.available2007-10-30T06:23:18Z-
dc.date.issued2005en_HK
dc.identifier.citationStatistica Sinica, 2005, v. 15 n. 2, p. 495-504en_HK
dc.identifier.issn1017-0405en_HK
dc.identifier.urihttp://hdl.handle.net/10722/45341-
dc.description.abstractWe 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.extent124807 bytes-
dc.format.extent503755 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/pdf-
dc.languageengen_HK
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/en_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectMoving averageen_HK
dc.subjectmultivariate linear processen_HK
dc.subjecttime-reversibilityen_HK
dc.titleOn time-reversibility of multivariate linear processesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://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+processesen_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.scopuseid_2-s2.0-20444499071-

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