On Time Reversibility of Linear Time Series

Author(s):

M. Sharifdoust , S. Mahmoodi

Article Type:
Research/Original Article (بدون رتبه معتبر)
Abstract:

In this paper we suggest a procedure for testing reversibilityof time series. Our approach is based on a necessary and sufficientcondition for time reversibility of linear models. An attractive featureof the procedure is that in converse with other approaches it doesn’trequire important assumptions, especially existence of moments of orderhigher than two. Our simulation confirms the procedure and some empirical examples are given.

Keywords:

Linear time series , time reversibility , stationaryprocess , testing hypothesis

Language:
English
Published:
Journal of Mathematical Extension, Volume:6 Issue: 4, Autumn 2012
Pages:
33 to 47
https://magiran.com/p2264038