Time-reversibility is defined for a process X(t) as the property that left brace X(t//1),. . . , X(t//n) right brace and left brace X( minus t//1),. . . , X( minus t//n) right brace 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.
ASJC Scopus subject areas
- Statistics and Probability
- Mathematics (all)
- Statistics, Probability and Uncertainty