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Anticausal time series (Xt​=−∑j≥1​ϕ−jZt+j​)

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Time series
2026-10-06  0 By others on same topic  0 Discussions Create my own version
An anticausal noise representation uses future rather than present and past innovations. For a two-sided AR(1) equation with ∣ϕ∣>1, the stationary solution is Xt​=−∑j≥1​ϕ−jZt+j​. Thus stationary existence alone does not require causality.

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