Time Reversibility statistic
Time Reversibility statistic
timeAsymmetry2(time.series, tau)
time.series |
The time series used to compute the statistic |
tau |
Time delay used to compute the third order statistic. |
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.
The time simmetry statistic for the delays specified with tau.
Constantino A. Garcia
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