Time-reversibility of linear stochastic processes
- 1 March 1975
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 12 (04) , 831-836
- https://doi.org/10.1017/s0021900200048804
Abstract
Time-reversibility is defined for a process X(t) as the property that {X(t 1), …, X(tn )} and {X(– t 1), …, X(– tn )} have the same joint probability distribution. It is shown that, for discrete mixed autoregressive moving-average processes, this is a unique property of Gaussian processes.Keywords
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