timeAsymmetry: Time Reversibility statistic

In nonlinearTseries: Nonlinear Time Series Analysis

Time Reversibility statistic

Description

Time Reversibility statistic

Usage

timeAsymmetry(time.series)

Arguments

time.series

The time series used to compute the statistic.

Details

The time simmetry statistic measures the asymmetry of a time series under time reversal by calculating:

E[s_n * s_{n+1}^2] - E[s_n^2 * s_{n+1}]

. Since linear stochastic series are symmetric under time reversal, this statistic may be used for testing the assertion that the data was generated from a stationary linear stochastic process or not.

Value

The time simmetry statistic.

Author(s)

Constantino A. Garcia

References

H. Kantz and T. Schreiber: Nonlinear Time series Analysis (Cambridge university press, second edition, section 7.1.3)

nonlinearTseries documentation built on March 31, 2022, 1:07 a.m.