timeAsymmetry {nonlinearTseries}

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\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.

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)