Time-reversibility of linear stochastic processes

Gideon Weiss

doi:10.2307/3212735

Abstract

Time-reversibility is defined for a process X(t) as the property that {X(t 1), …, X(tn )} and {X(– t 1), …, X(– tn )} have the same joint probability distribution. It is shown that, for discrete mixed autoregressive moving-average processes, this is a unique property of Gaussian processes.

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