On the Entropy Production of Time Series with Unidirectional Linearity

被引：0

作者：

Dominik Janzing

机构：

[1] Max Planck Institute for Biological Cybernetics,

来源：

Journal of Statistical Physics | 2010年 / 138卷

关键词：

Arrow of time; Entropy production; Irreversible processes; Time series; ARMA models;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

There are non-Gaussian time series that admit a causal linear autoregressive moving average (ARMA) model when regressing the future on the past, but not when regressing the past on the future. The reason is that, in the latter case, the regression residuals are not statistically independent of the regressor. In previous work, we have experimentally verified that many empirical time series indeed show such a time inversion asymmetry.

引用

页码：767 / 779

页数：12

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