Measuring Statistical Asymmetries of Stochastic Processes: Study of the Autoregressive Process

Measuring Statistical Asymmetries of Stochastic Processes: Study of the Autoregressive Process

We use the definition of statistical symmetry as the invariance of a probability distribution under a given transformation and apply the concept to the underlying probability distribution of stochastic processes. To measure the degree of statistical asymmetry, we take the Kullback–Leibler...

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Bibliographic Details
Main Authors: Arthur Matsuo Yamashita Rios de Sousa, Hideki Takayasu, Misako Takayasu
Format: Article
Language:English
Published: MDPI AG 2018-07-01
Series:Entropy
Subjects:
statistical symmetry
Kullback–Leibler divergence
stochastic process
autoregressive model
time series analysis
Online Access:http://www.mdpi.com/1099-4300/20/7/511

Internet

http://www.mdpi.com/1099-4300/20/7/511

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