When the bispectrum is real-valued

DOI10.1016/J.SPL.2014.08.004MaRDI QIDQ464455zbMATH OpenOpenAlexFDO

Authors E. Iglói, Gy. Terdik

Publication date 27 October 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.4625

zbMATH Keywords

reversibilitycausalitycumulantnonlinearitybispectrum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Nonlinear systems in control theory (93C10)

Abstract: Let {X(t)} be a stationary time series with a.e. positive spectrum. Two consequences of that the bispectrum of {X(t)} is real-valued but nonzero: 1) if {X(t)} is also linear, then it is reversible; 2) {X(t),} can not be causal linear. A corollary of the first statement: if {X(t)} is linear, and the skewness of X(0) is nonzero, then third order reversibility implies reversibility. In this paper the notion of bispectrum is of a broader scope.

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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 1281933 (Why is no real title available?)
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• On Cauchy's Functional Equation
• On almost additive functions
• On the Pexider difference
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