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

autoregression matrixmultivariate autoregressive processmultivariate normal distributionreversibility of first-order autoregressive processesreversible densitystationary distributiontime-reversibility

Mathematics Subject Classification ID

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

Review text

The main result is a criterion of reversibility of multivariate AR(1) processes formulated in the terms of the autoregression matrix.

Cites work

• Connecting reversible Markov processes
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• Waiting Times When Queues are in Tandem

Cited in

(8)

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

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