A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes

We consider a metric entropy capable of detecting deviations from symmetry that is suitable for both discrete and continuous processes. A test statistic is constructed from an integrated normed difference between nonparametric estimates of two density functions. The null distribution (symmetry) is obtained by resampling from an artificially lengthened series constructed from a rotation of the original series about its mean (median, mode). …