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Quantifying irreversibility of a system using finite information constitutes a major challenge in stochastic thermodynamics. We introduce an observable that measures the time-reversal asymmetry between two states after a given time lag. Our…
Finding interdependency relations between (possibly multivariate) time series provides valuable knowledge about the processes that generate the signals. Information theory sets a natural framework for non-parametric measures of several…
For discrete-state stochastic systems obeying Markovian dynamics, we establish the counterpart of the conditional reversibility theorem obtained by Gallavotti for deterministic systems [Ann. de l'Institut Henri Poincar\'e (A) 70, 429…
In Markov networks, measurement blackouts with unknown frequency compromise observations such that thermodynamic quantities can no longer be inferred reliably. In particular, the observed currents neither discern equilibrium from…
The rate of entropy production by a stochastic process quantifies how far it is from thermodynamic equilibrium. Equivalently, entropy production captures the degree to which detailed balance and time-reversal symmetry are broken. Despite…
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…
We reformulate the result for the entropy production given in Phys. Rev. Lett. 98, 080602 (2007) in terms of the relative entropy of microscopic trajectories. By a combination with the Crook's theorem, we identify the path variables that…
Markov chain Monte Carlo methods are central in computational statistics, and typically rely on detailed balance to ensure invariance with respect to a target distribution. Although straightforward to construct by Metropolization, this can…
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…
Permutation entropy measures the complexity of deterministic time series via a data symbolic quantization consisting of rank vectors called ordinal patterns or just permutations. The reasons for the increasing popularity of this entropy in…
Irreversibility is one of the most intriguing concepts in physics. While microscopic physical laws are perfectly reversible, macroscopic average behavior has a preferred direction of time. According to the second law of thermodynamics, this…
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.…
The entropy production rate is central to the study of non-equilibrium systems. This parameter is closely connected to violation of time-reversal symmetry, energy consumption, efficiency, and other properties of interest; in short, it…
Continuous feedback control of Langevin processes may be non-Markovian due to a time lag between the measurement and the control action. We show that this requires to modify the basic relation between dissipation and time-reversal and to…
A central task in stochastic thermodynamics is the estimation of entropy production for partially accessible Markov networks. We establish an effective transition-based description for such networks with transitions that are not…
Nonreciprocal interactions are commonplace in continuum-level descriptions of both biological and synthetic active matter, yet studies addressing their implications for time-reversibility have so far been limited to microscopic models.…
With the aid of simple analytical computations for the Ehrenfest model, we clarify some basic features of macroscopic irreversibility. The stochastic character of the model allows us to give a non-ambiguous interpretation of the general…
A standard approach to computing expectations with respect to a given target measure is to introduce an overdamped Langevin equation which is reversible with respect to the target distribution, and to approximate the expectation by a…
It is argued that a Gibbsian formula for the space-time distribution of microscopic trajectories of a nonequilibrium system provides a unifying framework for recent results on the fluctuations of the entropy production. The variable entropy…
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…