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Time-reversibility of linear stochastic processes

Published online by Cambridge University Press:  14 July 2016

Gideon Weiss*
Affiliation:
Tel-Aviv University

Abstract

Time-reversibility is defined for a process X(t) as the property that {X(t1), …, X(tn)} and {X(– t1), …, 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.

Type
Short Communications
Copyright
Copyright © Applied Probability Trust 1975 

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References

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