Reversibility of first-order autoregressive processes

DOI10.1016/0304-4149(88)90064-6MaRDI QIDQ1102677zbMATH OpenOpenAlexFDO

Authors Hideo Ōsawa

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90064-6

zbMATH Keywords

multivariate normal distributionstationary distributiontime-reversibilityautoregression matrixmultivariate autoregressive processreversibility of first-order autoregressive processesreversible density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites work

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• Connecting reversible Markov processes
• Markov chain models - rarity and exponentiality
• Preserving partial balance in continuous-time Markov chains
• Reversibility of Markov chains with applications to storage models
• Time series: theory and methods
• Waiting Times When Queues are in Tandem

Cited in

(6)

• Hidden Markov model for parameter estimation of a random walk in a Markov environment
• Large deviations for quadratic functionals of stable Gauss–Markov chains and entropy production
• On the inversion of an autoregressive process of finite order
• Reversible Markov processes on general spaces and spatial migration processes
• Multivariate initial sequence estimators in Markov chain Monte Carlo
• Hamiltonian-Assisted Metropolis Sampling

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