Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
This paper examines a bivariate count time series with some curious statistical features: Saffir–Simpson Category 3 and stronger annual hurricane counts in the North Atlantic and eastern Pacific Ocean Basins. As land and ocean temperatures on our planet warm, an intense climatological debate has ari...
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ftculeuclid:oai:CULeuclid:euclid.aoas/1520564478 2023-05-15T17:35:32+02:00 Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts Livsey, James Lund, Robert Kechagias, Stefanos Pipiras, Vladas 2018-03 application/pdf https://projecteuclid.org/euclid.aoas/1520564478 https://doi.org/10.1214/17-AOAS1098 en eng The Institute of Mathematical Statistics 1932-6157 1941-7330 Copyright 2018 Institute of Mathematical Statistics Count time series hurricanes long-range dependence multivariate negative autocorrelation Poisson Text 2018 ftculeuclid https://doi.org/10.1214/17-AOAS1098 2018-10-06T13:08:43Z This paper examines a bivariate count time series with some curious statistical features: Saffir–Simpson Category 3 and stronger annual hurricane counts in the North Atlantic and eastern Pacific Ocean Basins. As land and ocean temperatures on our planet warm, an intense climatological debate has arisen over whether hurricanes are becoming more numerous, or whether the strengths of the individual storms are increasing. Recent literature concludes that an increase in hurricane counts occurred in the Atlantic Basin circa 1994. This increase persisted through 2012; moreover, the 1994–2012 period was one of relative inactivity in the eastern Pacific Basin. When Atlantic activity eased in 2013, heavy activity in the eastern Pacific Basin commenced. When examined statistically, a Poisson white noise model for the annual severe hurricane counts is difficult to resoundingly reject. Yet, decadal cycles (longer term dependence) in the hurricane counts is plausible. This paper takes a statistical look at the issue, developing a stationary multivariate count time series model with Poisson marginal distributions and a flexible autocovariance structure. Our auto- and cross-correlations can be negative and have long-range dependence; features that most previous count models cannot achieve in tandem. Our model is new in the literature and is based on categorizing and super-positioning multivariate Gaussian time series. We derive the autocovariance function of the model and propose a method to estimate model parameters. In the end, we conclude that severe hurricane counts are indeed negatively correlated across the two ocean basins. Some evidence for long-range dependence is also presented; however, with only a 49-year record, this issue cannot be definitively judged without additional data. Text North Atlantic Project Euclid (Cornell University Library) Pacific The Annals of Applied Statistics 12 1 |
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Project Euclid (Cornell University Library) |
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ftculeuclid |
language |
English |
topic |
Count time series hurricanes long-range dependence multivariate negative autocorrelation Poisson |
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Count time series hurricanes long-range dependence multivariate negative autocorrelation Poisson Livsey, James Lund, Robert Kechagias, Stefanos Pipiras, Vladas Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts |
topic_facet |
Count time series hurricanes long-range dependence multivariate negative autocorrelation Poisson |
description |
This paper examines a bivariate count time series with some curious statistical features: Saffir–Simpson Category 3 and stronger annual hurricane counts in the North Atlantic and eastern Pacific Ocean Basins. As land and ocean temperatures on our planet warm, an intense climatological debate has arisen over whether hurricanes are becoming more numerous, or whether the strengths of the individual storms are increasing. Recent literature concludes that an increase in hurricane counts occurred in the Atlantic Basin circa 1994. This increase persisted through 2012; moreover, the 1994–2012 period was one of relative inactivity in the eastern Pacific Basin. When Atlantic activity eased in 2013, heavy activity in the eastern Pacific Basin commenced. When examined statistically, a Poisson white noise model for the annual severe hurricane counts is difficult to resoundingly reject. Yet, decadal cycles (longer term dependence) in the hurricane counts is plausible. This paper takes a statistical look at the issue, developing a stationary multivariate count time series model with Poisson marginal distributions and a flexible autocovariance structure. Our auto- and cross-correlations can be negative and have long-range dependence; features that most previous count models cannot achieve in tandem. Our model is new in the literature and is based on categorizing and super-positioning multivariate Gaussian time series. We derive the autocovariance function of the model and propose a method to estimate model parameters. In the end, we conclude that severe hurricane counts are indeed negatively correlated across the two ocean basins. Some evidence for long-range dependence is also presented; however, with only a 49-year record, this issue cannot be definitively judged without additional data. |
format |
Text |
author |
Livsey, James Lund, Robert Kechagias, Stefanos Pipiras, Vladas |
author_facet |
Livsey, James Lund, Robert Kechagias, Stefanos Pipiras, Vladas |
author_sort |
Livsey, James |
title |
Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts |
title_short |
Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts |
title_full |
Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts |
title_fullStr |
Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts |
title_full_unstemmed |
Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts |
title_sort |
multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts |
publisher |
The Institute of Mathematical Statistics |
publishDate |
2018 |
url |
https://projecteuclid.org/euclid.aoas/1520564478 https://doi.org/10.1214/17-AOAS1098 |
geographic |
Pacific |
geographic_facet |
Pacific |
genre |
North Atlantic |
genre_facet |
North Atlantic |
op_relation |
1932-6157 1941-7330 |
op_rights |
Copyright 2018 Institute of Mathematical Statistics |
op_doi |
https://doi.org/10.1214/17-AOAS1098 |
container_title |
The Annals of Applied Statistics |
container_volume |
12 |
container_issue |
1 |
_version_ |
1766134729221865472 |