Abstract
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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
