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Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison

The assessment of time irreversibility, i.e., of the lack of invariance of the statistical properties of a system under the operation of time reversal, is a topic steadily gaining attention within the research community. Irreversible dynamics have been found in many real-world systems, with alterati...

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Detalles Bibliográficos
Autores principales: Zanin, Massimiliano, Papo, David
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8622570/
https://www.ncbi.nlm.nih.gov/pubmed/34828172
http://dx.doi.org/10.3390/e23111474
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author Zanin, Massimiliano
Papo, David
author_facet Zanin, Massimiliano
Papo, David
author_sort Zanin, Massimiliano
collection PubMed
description The assessment of time irreversibility, i.e., of the lack of invariance of the statistical properties of a system under the operation of time reversal, is a topic steadily gaining attention within the research community. Irreversible dynamics have been found in many real-world systems, with alterations being connected to, for instance, pathologies in the human brain, heart and gait, or to inefficiencies in financial markets. Assessing irreversibility in time series is not an easy task, due to its many aetiologies and to the different ways it manifests in data. It is thus not surprising that several numerical methods have been proposed in the last decades, based on different principles and with different applications in mind. In this contribution we review the most important algorithmic solutions that have been proposed to test the irreversibility of time series, their underlying hypotheses, computational and practical limitations, and their comparative performance. We further provide an open-source software library that includes all tests here considered. As a final point, we show that “one size does not fit all”, as tests yield complementary, and sometimes conflicting views to the problem; and discuss some future research avenues.
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spelling pubmed-86225702021-11-27 Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison Zanin, Massimiliano Papo, David Entropy (Basel) Article The assessment of time irreversibility, i.e., of the lack of invariance of the statistical properties of a system under the operation of time reversal, is a topic steadily gaining attention within the research community. Irreversible dynamics have been found in many real-world systems, with alterations being connected to, for instance, pathologies in the human brain, heart and gait, or to inefficiencies in financial markets. Assessing irreversibility in time series is not an easy task, due to its many aetiologies and to the different ways it manifests in data. It is thus not surprising that several numerical methods have been proposed in the last decades, based on different principles and with different applications in mind. In this contribution we review the most important algorithmic solutions that have been proposed to test the irreversibility of time series, their underlying hypotheses, computational and practical limitations, and their comparative performance. We further provide an open-source software library that includes all tests here considered. As a final point, we show that “one size does not fit all”, as tests yield complementary, and sometimes conflicting views to the problem; and discuss some future research avenues. MDPI 2021-11-08 /pmc/articles/PMC8622570/ /pubmed/34828172 http://dx.doi.org/10.3390/e23111474 Text en © 2021 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Zanin, Massimiliano
Papo, David
Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison
title Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison
title_full Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison
title_fullStr Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison
title_full_unstemmed Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison
title_short Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison
title_sort algorithmic approaches for assessing irreversibility in time series: review and comparison
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8622570/
https://www.ncbi.nlm.nih.gov/pubmed/34828172
http://dx.doi.org/10.3390/e23111474
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