A note on time-reversibility of multivariate linear processes

DOI10.1093/BIOMET/93.1.221MaRDI QIDQ5503389zbMATH OpenOpenAlexFDO

Authors Kung-Sik Chan, Lop-Hing Ho, Howell Tong

Publication date 15 January 2009

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/5d500f5331ef26f7a524e6728a46ea503002f985

zbMATH Keywords

\(T\)-distributioncumulantdistributional equivalentnon-Gaussian distributionsymmetrytime series

Mathematics Subject Classification ID

Stochastic processes (60G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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