Related papers: Assessing time series irreversibility through micr…

The absence of time-reversal symmetry is a fundamental property of many nonlinear time series. Here, we propose a new set of statistical tests for time series irreversibility based on standard and horizontal visibility graphs. Specifically,…

Time irreversibility, which characterizes nonequilibrium processes, can be measured based on the probabilistic differences between symmetric vectors. To simplify the quantification of time irreversibility, symmetric permutations instead of…

The dynamics of time-reversible systems are statistically indistinguishable when observed forward or backward in time. A rich literature of statistical methods to distinguish irreversible dynamics from the reversible dynamics of linear,…

Time irreversibility is a common signature of nonlinear processes, and a fundamental property of non-equilibrium systems driven by non-conservative forces. A time series is said to be reversible if its statistical properties are invariant…

Irreversibility is commonly quantified by entropy production. An external observer can estimate it through measuring an observable that is antisymmetric under time-reversal like a current. We introduce a general framework that, inter alia,…

A broken time-reversal symmetry, i.e. broken detailed balance, is central to non-equilibrium physics and is a prerequisite for life. However, it turns out to be quite challenging to unambiguously define and quantify time-reversal symmetry…

Predictability is an emerging metric that quantifies the highest possible prediction accuracy for a given time series, being widely utilized in assessing known prediction algorithms and characterizing intrinsic regularities in human…

This paper studies permutation tests for regression parameters in a time series setting, where the time series is assumed stationary but may exhibit an arbitrary (but weak) dependence structure. In such a setting, it is perhaps surprising…

We consider the problem of sequentially testing for changes in the mean parameter of a time series, compared to a benchmark period. Most tests in the literature focus on the null hypothesis of a constant mean versus the alternative of a…

This work introduces a novel, simple, and flexible method to quantify irreversibility in generic high-dimensional time series based on the well-known mapping to a binary classification problem. Our approach utilizes gradient boosting for…

The concept of time series irreversibility -- the degree by which the statistics of signals are not invariant under time reversal -- naturally appears in non-equilibrium physics in stationary systems which operate away from equilibrium and…

Visibility algorithms are a family of methods to map time series into networks, with the aim of describing the structure of time series and their underlying dynamical properties in graph-theoretical terms. Here we explore some properties of…

We introduce a general framework for testing temporal symmetries in time series based on the distribution of ordinal patterns. While previous approaches have focused on specific forms of asymmetry, such as time reversal, our method provides…

The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…

Irreversibility is a fundamental concept with important implications at many levels. It pinpoints the fundamental difference between the intrinsically reversible microscopic equations of motion and the unidirectional arrow of time that…

Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and…

Time-reversibility is a crucial feature of many time series models, while time-irreversibility is the rule rather than the exception in real-life data. Testing the null hypothesis of time-reversibilty, therefore, should be an important step…

To simplify the quantification of time irreversibility, we employ order patterns instead of the raw multi-dimension vectors in time series, and considering the existence of forbidden permutation, we propose a subtraction-based parameter,…

Time-reversibility measured by the deviation of the perturbed time-reversed motion from the unperturbed one is examined for normal quantum diffusion exhibited by four classes of quantum maps with contrastive physical nature. Irrespective of…

Many empirical time series are genuinely symbolic: examples range from link activation patterns in network science, DNA coding or firing patterns in neuroscience to cryptography or combinatorics on words. In some other contexts, the…