Name
Title | ||
|---|---|---|
Statistical tests for the detection of the arrow of time in vector autoregressive models |
Abstract | ||
|---|---|---|
The problem of detecting the direction of time in vector Autoregressive (VAR) processes using statistical techniques is considered. By analogy to causal AR(1) processes with non-Gaussian noise, we conjecture that the distribution of the time reversed residuals of a linear VAR model is closer to a Gaussian than the distribution of actual residuals in the forward direction. Experiments with simulated data illustrate the validity of the conjecture. Based on these results, we design a decision rule for detecting the direction of VAR processes. The correct direction in time (forward) is the one in which the residuals of the time series are less Gaussian. A series of experiments illustrate the superior results of the proposed rule when compared with other methods based on independence tests. |
Year | Venue | Keywords |
|---|---|---|
2013 | IJCAI | independence test,time series,forward direction,decision rule,vector autoregressive model,simulated data,correct direction,linear var model,proposed rule,statistical test,non-gaussian noise,actual residual |
DocType | Citations | PageRank |
Conference | 1 | 0.40 |
References | Authors | |
8 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Pablo Morales-Mombiela | 1 | 3 | 1.17 |
| Daniel Hernández-Lobato | 2 | 440 | 26.10 |
| Alberto Suárez | 3 | 487 | 22.33 |