timeAsymmetry: Time Reversibility statistic
In nonlinearTseries: Nonlinear Time Series Analysis
Description
Usage
Arguments
Details
Value
Author(s)
View source: R/nonlinearStatistics.R
Description
Time Reversibility statistic
Usage
1
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
nonlinearTseries documentation built on May 2, 2019, 5:47 p.m.
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Description Usage Arguments Details Value Author(s)
View source: R/nonlinearStatistics.R
Description
Time Reversibility statistic
Usage
1 | 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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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