A note on time-reversibility of multivariate linear processes
成果类型：
Article
署名作者：
Chan, KS; Ho, LH; Tong, H
署名单位：
University of Iowa; Wichita State University; University of London; London School Economics & Political Science
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/93.1.221
发表日期：
2006
页码：
221227
关键词：
摘要：
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.