View source: R/nonlinearStatistics.R
timeAsymmetry | R Documentation |
Time Reversibility statistic
timeAsymmetry(time.series)
time.series |
The time series used to compute the statistic. |
The time simmetry statistic measures the asymmetry of a time series under time reversal by calculating:
E[s_n\cdot s_{n+1}^2] - E[s_n^2\cdot 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.
The time simmetry statistic.
Constantino A. Garcia
H. Kantz and T. Schreiber: Nonlinear Time series Analysis (Cambridge university press, second edition, section 7.1.3)
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