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

M. Zanin and D. Papo

Entropy, 23:1474 (2021)

images (3)

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.

Keywords: Symmetry; irreversibility; time-reversal symmetry; thermodynamic equilibrium; detailed balance; non-equilibrium steady state; entropy production; fluctuation-dissipation relations; fluctuations relations; thermodynamics uncertainty relations; nonlinearity; non-Gaussianity; coarse-graining; permutation entropy scaling

[Read more in Entropy]


Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s