Relative asynchronous index: a new measure for time series irreversibility

In this paper, we suggest a new measure for testing reversibility of time series which combines two different tools: the visibility algorithm and the inversion number. First, the visibility algorithm maps the time series to the network according to a geometric criterion. After that, the degree of ir...

Full description

Saved in:
Bibliographic Details
Published in:Nonlinear dynamics Vol. 93; no. 3; pp. 1545 - 1557
Main Authors: Yang, Pengbo, Shang, Pengjian
Format: Journal Article
Language:English
Published: Dordrecht Springer Netherlands 01.08.2018
Springer Nature B.V
Subjects:
Algorithms
Automotive Engineering
Classical Mechanics
Control
Dynamical Systems
Engineering
Mechanical Engineering
Multiscale analysis
Original Paper
Parameter estimation
Regression analysis
Sequences
Time series
Vibration
Visibility
Degree sequences
Financial time series
Visibility algorithm
Inversion number
Relative asynchronous index
ISSN:0924-090X, 1573-269X
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper, we suggest a new measure for testing reversibility of time series which combines two different tools: the visibility algorithm and the inversion number. First, the visibility algorithm maps the time series to the network according to a geometric criterion. After that, the degree of irreversibility of the time series can be estimated by the relative asynchronous index (RAI), based on the inverse number, between out and out ∗ degree sequences of the network (out and out ∗ represent the outgoing sequence of forward time series and reverse time series, respectively). This method does not need to rely on additional parameters, so it can avoid the error caused by parameter estimation. In addition, we also study the multiscale RAI and find that the optimal scale selection for detection time irreversibility is 1–4. Different types of time series are used to confirm the validity of this metric. Finally, we apply the method to financial time series and find that the financial crisis can be detected by RAI.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0924-090X
1573-269X
DOI:10.1007/s11071-018-4275-1