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Biometrika 1999 86(2):483-486; doi:10.1093/biomet/86.2.483
© 1999 by Biometrika Trust
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Miscellanea. On time-reversibility of linear processes

Q Cheng

School of Mathematical Sciences, Peking University, Beijing 100871, PROC E-mail: qcheng@pku.edu.cn

A necessary and sufficient condition for time-reversibility of stationary linear processes is given which, contrary to previous results, does not require existence of moments of order higher than two.

Key Words: Non-Gaussian linear process; Time-reversibility.


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