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| Titel: |
On time-irreversibility and other non-linear features in time series |
| Auteur: |
Luceno, Alberto |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 29 (2000) nr. 1 pagina's 295-313 |
| Jaar: |
2000 |
| Inhoud: |
Time-irreversibility, asymmetry of the distribution, and the occurrence of sudden bursts are considered, amongst others, as non-linear features in time series modeling. The implication is often made that time series showing these features must be analyzed using non-linear models. In contrast, this paper shows that time-irreversible asymmetric time series showing certain types of sudden bursts may be generated by linear models with adequate input sequences. Thus some non-linear time series features may be caused by the pattern in the input sequence rather than by non-linearity in the model. Examples are considered to illustrate the situation. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
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