A model-free test of the time-reversibility of climate change processes
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arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866910702817509376 |
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| author | Goto, Yuichi Hallin, Marc |
| author_facet | Goto, Yuichi Hallin, Marc |
| contents | Time-reversibility is a crucial feature of many time series models, while time-irreversibility is the rule rather than the exception in real-life data. Testing the null hypothesis of time-reversibilty, therefore, should be an important step preliminary to the identification and estimation of most traditional time-series models. Existing procedures, however, mostly consist of testing necessary but not sufficient conditions, leading to under-rejection, or sufficient but non-necessary ones, which leads to over-rejection. Moreover, they generally are model-besed. In contrast, the copula spectrum studied by Goto et al. ($\textit{Ann. Statist.}$ 2022, $\textbf{50}$: 3563--3591) allows for a model-free necessary and sufficient time-reversibility condition. A test based on this copula-spectrum-based characterization has been proposed by authors. This paper illustrates the performance of this test, with an illustration in the analysis of climatic data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_11248 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A model-free test of the time-reversibility of climate change processes Goto, Yuichi Hallin, Marc Methodology 62M15, 62G30, 62G10 Time-reversibility is a crucial feature of many time series models, while time-irreversibility is the rule rather than the exception in real-life data. Testing the null hypothesis of time-reversibilty, therefore, should be an important step preliminary to the identification and estimation of most traditional time-series models. Existing procedures, however, mostly consist of testing necessary but not sufficient conditions, leading to under-rejection, or sufficient but non-necessary ones, which leads to over-rejection. Moreover, they generally are model-besed. In contrast, the copula spectrum studied by Goto et al. ($\textit{Ann. Statist.}$ 2022, $\textbf{50}$: 3563--3591) allows for a model-free necessary and sufficient time-reversibility condition. A test based on this copula-spectrum-based characterization has been proposed by authors. This paper illustrates the performance of this test, with an illustration in the analysis of climatic data. |
| title | A model-free test of the time-reversibility of climate change processes |
| topic | Methodology 62M15, 62G30, 62G10 |
| url | https://arxiv.org/abs/2411.11248 |