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This is the preliminary program for the 2007 Joint Statistical Meetings in Salt Lake City, Utah.

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Activity Number: 382
Type: Contributed
Date/Time: Wednesday, August 1, 2007 : 8:30 AM to 10:20 AM
Sponsor: Section on Nonparametric Statistics
Abstract - #309779
Title: A Nonparametric Time Reversibility Test Based on U-Statistics
Author(s): Nusrat Jahan*+ and Yuji Tomita
Companies: James Madison University and James Madison University
Address: Department of Mathematics and Statistics, Harrisonburg, VA, 22807,
Keywords: Time reversibility ; U-statistics ; Distance-based statistic ; nonparametric
Abstract:

A new time series reversibility test is proposed based on a distance measure between the joint density function of the series and the series with reversed time indices. The distance measure is estimated unbiasedly and consistently within the framework of U-statistics, which can be shown to have an asymptotic normal distribution. The test does not require existence of moments higher than second order. Simulation results compare the power of the proposed test with the existing time reversibility tests.

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Revised September, 2007