Reversibility of first-order autoregressive processes

DOI10.1016/0304-4149(88)90064-6zbMath0644.62090OpenAlexW2149239231MaRDI QIDQ1102677

Hideo Osawa

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90064-6

zbMATH Keywords

stationary distributionmultivariate normal distributiontime-reversibilityautoregression matrixmultivariate autoregressive processreversibility of first-order autoregressive processesreversible density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (5)

Large deviations for quadratic functionals of stable Gauss–Markov chains and entropy production ⋮ Hamiltonian-Assisted Metropolis Sampling ⋮ Reversible Markov processes on general spaces and spatial migration processes ⋮ Multivariate initial sequence estimators in Markov chain Monte Carlo ⋮ Hidden Markov model for parameter estimation of a random walk in a Markov environment

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