A note on time-reversibility of multivariate linear processes

DOI10.1093/biomet/93.1.221zbMath1152.62361OpenAlexW2061264293MaRDI QIDQ5503389

Howell Tong, Kung-Sik Chan, Lop-Hing Ho

Publication date: 15 January 2009

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5d500f5331ef26f7a524e6728a46ea503002f985

zbMATH Keywords

symmetrytime seriescumulantnon-Gaussian distribution\(T\)-distributiondistributional equivalent

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic processes (60G99)

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