Time Reversibility statistic
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 * 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.
The time simmetry statistic.
Constantino A. Garcia
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