|
|
|
|
On Time Reversibility of Linear Time Series
|
|
|
|
|
|
|
|
نویسنده
|
Sharifdoust Maryam ,Mahmoodi Safieh
|
|
منبع
|
journal of mathematical extension - 2012 - دوره : 6 - شماره : 4 - صفحه:33 -47
|
|
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.
|
|
کلیدواژه
|
Linear time series ,time reversibility ,stationary process ,testing hypothesis
|
|
آدرس
|
islamic azad university, Department of Mathematics, ایران, isfahan university of technology, Department of Mathematical Sciences, ایران
|
|
پست الکترونیکی
|
mahmoodi@cc.iut.ac.ir
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Authors
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|