On Time Reversibility of Linear Time Series
نویسندگان
چکیده
In this paper we suggest a procedure for testing reversibility of time series. Our approach is based on a necessary and sufficient condition for time reversibility of linear models. An attractive feature of the procedure is that in converse with other approaches it doesn’t require important assumptions, especially existence of moments of order higher than two. Our simulation confirms the procedure and some empirical examples are given. AMS Subject Classification: 60G15; 37M10
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