Modelling directionality for paleoclimatic time series

• Published in: ANZIAM Journal
• Main Authors: Mansor, Mahayaudin M., Mohd. Isa, Farah L., Green, David A., Metcalfe, Andrew V.
• Format: Article in Journal/Newspaper
• Language: English
• Published: Australian Mathematical Society 2016
• Subjects: Directional time series; reversibility; ice cores; threshold autoregressive models; penalised least squares; 62M10; Greenland; Itise; Lawrance; Lorius; Metcalfe; Rojas; Vostok Station; Antarc*; Antarctica; Greenland ice core; Greenland Ice core Project; ice core; North Greenland; North Greenland Ice Core Project
• Online Access: https://journal.austms.org.au/ojs/index.php/ANZIAMJ/article/view/10415

The ice core time series from Vostok Station in Antarctica and the North Greenland Ice Core Project have seasonal variation corresponding to the Milankovitch cycles. After removing these cycles, and interpolating to equal time intervals, stationary time series models are fitted. The series show clear directionality and this feature is modelled by either non-Gaussian errors or non-linear time series models. Threshold autoregressive models are fitted by penalized least squares and compared with non-threshold autoregressive models. Since both ice core time series are reasonably modelled as first order autoregressive series with parameters close to one, directionality will arise from non-symmetric error distributions. However, two regime threshold autoregressive models, of order one and two for Greenland and Vostok, respectively, give an improved match to the observed directionality and a reduced sum of squared residuals. Realizations from the threshold autoregressive models are noticeably different from the non-threshold models. Since the non-threshold models are a restricted case of the threshold models, and the threshold models are a better fit to the observed time series, threshold models should provide more realistic realizations. References C. Chatfield. The Analysis of Time Series: An Introduction. CRC Press, 2004. https://www.crcpress.com/The-Analysis-of-Time-Series-An-Introduction-Sixth-Edition/Chatfield/p/book/9781584883173 A. J. Lawrance. Directionality and reversibility in time series. Int. Stat. Rev. 59(1):67–79, 1991. doi:10.2307/1403575 M. M. Mansor, M. E. Glonek, D. A. Green and A. V. Metcalfe. Threshold autoregressive models for directional time series. In I. Rojas and H. Pomares (Eds.), Time Series Analysis and Forecasting Selected Contributions from the ITISE Conference (ITISE 2015). pp. 13–25, 2016. doi:10.1007/978-3-319-28725-6 M. M. Mansor, M. E. Glonek, D. A. Green and A. V. Metcalfe. Modelling directionality in stationary geophysical time series. International work-conference on Time Series (ITISE 2015). http://www.researchgate.net/publication/281835075 M. M. Mansor, D. A. Green and A. V. Metcalfe. Modelling and simulation of directional financial time series. Proceedings of the 21st International Congress on Modelling and Simulation (MODSIM 2015), pp. 1022–1028, 2015. http://www.mssanz.org.au/modsim2015/E4/mansor.pdf M. M. Mansor, D. A. Green and A. V. Metcalfe. Directionality and volatility in electroencephalogram time series. Proceedings of the 2nd International Conference on Mathematical Sciences and Statistics (ICMSS 2016), AIP Conf. Proc. 1739:020080, 2016. doi:10.1063/1.4952560 North Greenland Ice Core Project members. High-resolution record of Northern Hemisphere climate extending into the last interglacial period. Nature, 431:147–151, 2004. doi:10.1038/nature02805 J. R. Petit, J. Jouzel, D. Raynaud, N. I. Barkov, J.-M. Barnola, I. Basile, M. Bender, J. Chappellaz, M. Davis, G. Delaygue, M. Delmotte, V. M. Kotlyakov, M. Legrand, V. Y. Lipenkov, C. Lorius, L. Pepin, C. Ritz, E. Saltzman and M. Stievenard. Climate and atmospheric history of the past 420,000 years from the Vostok ice core, Antarctica. Nature, 399:429–436, 1999. doi:10.1038/20859 S. Soubeyrand, C. E. Morris and E. K. Bigg. Analysis of fragmented time directionality in time series to elucidate feedbacks in climate data. Environ. Modell. Softw. 61:78–86, 2014. doi:10.1016/j.envsoft.2014.07.003