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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
29 articles.
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