timeAsymmetry {nonlinearTseries}R Documentation

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 * 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.

Value

The time simmetry statistic.

Author(s)

Constantino A. Garcia


[Package nonlinearTseries version 0.2.4 Index]