Identifying statistical indicators of temporal asymmetry using a data-driven approach

TL;DR

This study systematically evaluates over 6000 time-series statistics to identify effective indicators of temporal irreversibility across diverse systems, highlighting key families of statistics and the need for tailored approaches.

Contribution

It provides a large-scale, data-driven comparison of statistical methods for detecting time-reversibility, revealing that no single statistic is universally effective and emphasizing system-specific approaches.

Findings

Several key families of statistics effectively distinguish irreversibility.

No single statistic accurately captures irreversibility for all systems.

Tailoring statistical methods to specific system characteristics is crucial.

Abstract

The dynamics of time-reversible systems are statistically indistinguishable when observed forward or backward in time. A rich literature of statistical methods to distinguish irreversible dynamics from the reversible dynamics of linear, Gaussian systems can provide insights into underlying mechanisms and aid modeling and statistical quantification of time-series data. But these existing time-reversibility metrics have been developed individually, forming a fragmented body of research that makes it challenging to identify the most effective approaches developed to date, and the most promising new directions for development. Here we address these issues by systematically evaluating over 6000 time-series summary statistics, derived from across the time-series analysis literature, on their ability to distinguish the time-irreversibility of data simulated from a diverse range of 35 systems. Our large-scale data-driven comparison highlights the effectiveness of several key families of statistics, including time-asymmetric forms of generalized autocorrelation functions, time-series symbolic sequences, and forecasting-related methods. All irreversible systems studied here could be accurately distinguished by a well-chosen time-series statistic, but no single statistic could accurately index the statistical form of irreversibility for all irreversible systems. This challenges the assumption that a given time-reversibility statistic will accurately capture time reversibility in general, and underscores the importance of tailoring statistical approaches to the time-reversal characteristics of a given system. Our results provide a unified understanding of the key algorithmic structures through which irreversibility can be effectively quantified from data, providing a foundation for connecting patterns in time series to the underlying mechanisms of the systems that generate them.