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Assessing time-reversibility under minimal assumptions

Psaradakis, Zacharias (2008) Assessing time-reversibility under minimal assumptions. Journal of Time Series Analysis 29 (5), pp. 881-905. ISSN 0143-9782.

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Official URL: http://dx.doi.org/10.1111/j.1467-9892.2008.00587.x

Abstract

This article considers a simple procedure for assessing whether a weakly dependent univariate stochastic process is time-reversible. Our approach is based on a simple index of the deviation from zero of the median of the one-dimensional marginal law of differenced data. An attractive feature of the method is that it requires no moment assumptions. Instead of relying on Gaussian asymptotic approximations, we consider using subsampling and resampling methods to construct confidence intervals for the time-reversibility parameter, and show that such inference procedures are asymptotically valid under a mild mixing condition. The small-sample properties of the proposed procedures are examined by means of Monte Carlo experiments and an application to real-world data is also presented.

Item Type: Article
Keyword(s) / Subject(s): Bootstrap, confidence intervals, resampling, strong mixing, subsampling, time reversibility
School or Research Centre: Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User: Administrator
Date Deposited: 01 Feb 2011 09:17
Last Modified: 17 Apr 2013 12:18
URI: http://eprints.bbk.ac.uk/id/eprint/1961

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