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nonlinearTseries (version 0.3.1)

timeAsymmetry: Time Reversibility statistic

Description

Time Reversibility statistic

Usage

timeAsymmetry(time.series)

Value

The time simmetry statistic.

Arguments

time.series

The time series used to compute the statistic.

Author

Constantino A. Garcia

Details

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.

References

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