On Time Reversibility of Linear Time Series

On Time Reversibility of Linear Time Series

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 assu...

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Main Authors: M. Sharifdoust, S. Mahmoodi
Format: Article
Language:English
Published: Islamic Azad University 2012-12-01
Series:Journal of Mathematical Extension
Online Access:http://ijmex.com/index.php/ijmex/article/view/145/101
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spelling doaj-bf13255c81d44ad6ab0a7575ab9700732020-11-25T03:26:10ZengIslamic Azad UniversityJournal of Mathematical Extension1735-82991735-82992012-12-01643347On Time Reversibility of Linear Time SeriesM. Sharifdoust0S. Mahmoodi1Khomeinishahr Branch, Islamic Azad UniversityIsfahan University of TechnologyIn 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 givenhttp://ijmex.com/index.php/ijmex/article/view/145/101
collection DOAJ
language English
format Article
sources DOAJ
author M. Sharifdoust
S. Mahmoodi
spellingShingle M. Sharifdoust
S. Mahmoodi
On Time Reversibility of Linear Time Series
Journal of Mathematical Extension
author_facet M. Sharifdoust
S. Mahmoodi
author_sort M. Sharifdoust
title On Time Reversibility of Linear Time Series
title_short On Time Reversibility of Linear Time Series
title_full On Time Reversibility of Linear Time Series
title_fullStr On Time Reversibility of Linear Time Series
title_full_unstemmed On Time Reversibility of Linear Time Series
title_sort on time reversibility of linear time series
publisher Islamic Azad University
series Journal of Mathematical Extension
issn 1735-8299
1735-8299
publishDate 2012-12-01
description 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
url http://ijmex.com/index.php/ijmex/article/view/145/101
work_keys_str_mv AT msharifdoust ontimereversibilityoflineartimeseries
AT smahmoodi ontimereversibilityoflineartimeseries
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