Reversibility of first-order autoregressive processes (Q1102677)
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scientific article; zbMATH DE number 4050814
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| English | Reversibility of first-order autoregressive processes |
scientific article; zbMATH DE number 4050814 |
Statements
Reversibility of first-order autoregressive processes (English)
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1988
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The main result is a criterion of reversibility of multivariate AR(1) processes formulated in the terms of the autoregression matrix.
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time-reversibility
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reversible density
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stationary distribution
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multivariate autoregressive process
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multivariate normal distribution
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reversibility of first-order autoregressive processes
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autoregression matrix
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