timeAsymmetry2 {nonlinearTseries}

Time Reversibility statistic

Description

Time Reversibility statistic

Usage

timeAsymmetry2(time.series, tau)

Arguments

time.series

The time series used to compute the statistic

tau

Time delay used to compute the third order statistic.

Details

The time simmetry statistic measures the asymmetry of a time series under time reversal by implementing the third order statistic:

E[s_n - s_{n-\tau})^3]

. 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 for the delays specified with tau.

Author(s)

Constantino A. Garcia

See Also

timeAsymmetry