Detecting Directionality in Time Series

DOI10.1080/00031305.2018.1545699MaRDI QIDQ5869287zbMATH OpenOpenAlexFDO

Authors Mahayaudin M. Mansor, David A. Green, Andrew Viggo Metcalfe

Publication date 28 September 2022

Published in The American Statistician (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00031305.2018.1545699

zbMATH Keywords

blocks bootstrapdirectionalMonte Carlomoving stationary time seriesnonlinear time seriestime irreversibiletime reversible

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A statistical test for time reversibility of stationary finite state Markov chains
• Directionality volatility in electroencephalogram time series
• Handbook of Monte Carlo Methods
• scientific article; zbMATH DE number 4153678 (Why is no real title available?)
• scientific article; zbMATH DE number 3734998 (Why is no real title available?)
• The jackknife and the bootstrap for general stationary observations
• The Stationary Bootstrap
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time irreversible copula-based Markov models
• Time-reversibility of linear stochastic processes

Cited in

(2)

• Fitting a reversible Markov chain by maximum likelihood: converting an awkwardly constrained optimization problem to an unconstrained one
• Time series, hidden variables and spatio-temporal ordinality networks

Describes a project that uses

Uses Software

• R
• LMOMENTS

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