Significance testing of rank cross-correlations between autocorrelated time series with short-range dependence
| العنوان: | Significance testing of rank cross-correlations between autocorrelated time series with short-range dependence |
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| المؤلفون: | David Lun, Svenja Fischer, Alberto Viglione, Günter Blöschl |
| المصدر: | Journal of Applied Statistics. :1-17 |
| بيانات النشر: | Informa UK Limited, 2022. |
| سنة النشر: | 2022 |
| مصطلحات موضوعية: | Statistics and Probability, Statistics, Probability and Uncertainty |
| الوصف: | Statistical dependency measures such as Kendall’s Tau or Spearman’s Rho are frequently used to analyse the coherence between time series in environmental data analyses. Autocorrelation of the data can, however, result in spurious cross correlations if not accounted for. Here, we present the asymptotic distribution of the estimators of Spearman’s Rho and Kendall’s Tau, which can be used for statistical hypothesis testing of cross-correlations between autocorrelated observations. The results are derived using U-statistics under the assumption of absolutely regular (or β-mixing) processes. These comprise many short-range dependent processes, such as ARMA-, GARCH- and some copula-based models relevant in the environmental sciences. We show that while the assumption of absolute regularity is required, the specific type of model does not have to be specified for the hypothesis test. Simulations show the improved performance of the modified hypothesis test for some common stochastic models and small to moderate sample sizes under autocorrelation. The methodology is applied to observed climatological time series of flood discharges and temperatures in Europe. While the standard test results in spurious correlations between floods and temperatures, this is not the case for the proposed test, which is more consistent with the literature on flood regime changes in Europe. |
| تدمد: | 1360-0532 0266-4763 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f537efe1dadf61eb993e6b10140d0a2e https://doi.org/10.1080/02664763.2022.2137115 |
| حقوق: | OPEN |
| رقم الأكسشن: | edsair.doi.dedup.....f537efe1dadf61eb993e6b10140d0a2e |
| قاعدة البيانات: | OpenAIRE |
PDF full text from Publisher | تدمد: | 13600532 02664763 |
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