Reversibility of first-order autoregressive processes

Autoregressive Gaussian Random Vectors of First Order

autoregressive gaussian random vectors of first order

The Integration Order of Vector Autoregressive Processes

We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions (Johansen, 1996) is proved and polynomial cointegration discussed in the general setup.

Conditional Maximum Likelihood Estimation of the First-Order Spatial Integer-Valued Autoregressive (SINAR(1,1)) Model

‎Recently a first-order Spatial Integer-valued Autoregressive‎ ‎SINAR(1,1) model was introduced to model spatial data that comes‎ ‎in counts citep{ghodsi2012}‎. ‎Some properties of this model‎ ‎have been established and the Yule-Walker estimator has been‎ ‎proposed for this model‎. ‎In this paper‎, ‎we introduce the...

Time reversibility and nonequilibrium thermodynamics of second-order stochastic processes.

Nonequilibrium thermodynamics of a general second-order stochastic system is investigated. We prove that at steady state, under inversion of velocities, the condition of time reversibility over the phase space is equivalent to the antisymmetry of spatial flux and the symmetry of velocity flux. Then we show that the condition of time reversibility alone cannot always guarantee the Maxwell-Boltzm...