Volatility of unevenly sampled fractional Brownian motion: An application to ice core records
The analysis of many natural time series and especially those related to ice core records often suffers from uneven sampling intervals. For fractional Brownian motion, we show that standard estimates of the volatility can be strongly biased due to uneven sampling. Taking these limitations into accou...
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Online Access: | http://nora.nerc.ac.uk/id/eprint/10483/ http://link.aps.org/doi/10.1103/PhysRevE.81.016107 |
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ftnerc:oai:nora.nerc.ac.uk:10483 2023-05-15T13:45:10+02:00 Volatility of unevenly sampled fractional Brownian motion: An application to ice core records Davidsen, Jorn Griffin, James 2010 http://nora.nerc.ac.uk/id/eprint/10483/ http://link.aps.org/doi/10.1103/PhysRevE.81.016107 unknown American Physical Society Davidsen, Jorn; Griffin, James. 2010 Volatility of unevenly sampled fractional Brownian motion: An application to ice core records. Physical Review E, 81 (1), 016107. 1-9. https://doi.org/10.1103/PhysRevE.81.016107 <https://doi.org/10.1103/PhysRevE.81.016107> Meteorology and Climatology Glaciology Publication - Article PeerReviewed 2010 ftnerc https://doi.org/10.1103/PhysRevE.81.016107 2023-02-04T19:26:45Z The analysis of many natural time series and especially those related to ice core records often suffers from uneven sampling intervals. For fractional Brownian motion, we show that standard estimates of the volatility can be strongly biased due to uneven sampling. Taking these limitations into account, we study high-resolution records of temperature proxies obtained from Antarctic ice cores. We find that the volatility properties reveal a strong nonlinear component in the temperature time series for time scales of 5–200 kyr extending earlier results. These findings suggest in particular that temperature increments over these time scales appear in clusters of big and small increments—a big (positive or negative) change is most likely followed by a big (positive or negative) change and a small change is most likely followed by a small change. Article in Journal/Newspaper Antarc* Antarctic ice core Natural Environment Research Council: NERC Open Research Archive Antarctic Physical Review E 81 1 |
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Natural Environment Research Council: NERC Open Research Archive |
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unknown |
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Meteorology and Climatology Glaciology |
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Meteorology and Climatology Glaciology Davidsen, Jorn Griffin, James Volatility of unevenly sampled fractional Brownian motion: An application to ice core records |
topic_facet |
Meteorology and Climatology Glaciology |
description |
The analysis of many natural time series and especially those related to ice core records often suffers from uneven sampling intervals. For fractional Brownian motion, we show that standard estimates of the volatility can be strongly biased due to uneven sampling. Taking these limitations into account, we study high-resolution records of temperature proxies obtained from Antarctic ice cores. We find that the volatility properties reveal a strong nonlinear component in the temperature time series for time scales of 5–200 kyr extending earlier results. These findings suggest in particular that temperature increments over these time scales appear in clusters of big and small increments—a big (positive or negative) change is most likely followed by a big (positive or negative) change and a small change is most likely followed by a small change. |
format |
Article in Journal/Newspaper |
author |
Davidsen, Jorn Griffin, James |
author_facet |
Davidsen, Jorn Griffin, James |
author_sort |
Davidsen, Jorn |
title |
Volatility of unevenly sampled fractional Brownian motion: An application to ice core records |
title_short |
Volatility of unevenly sampled fractional Brownian motion: An application to ice core records |
title_full |
Volatility of unevenly sampled fractional Brownian motion: An application to ice core records |
title_fullStr |
Volatility of unevenly sampled fractional Brownian motion: An application to ice core records |
title_full_unstemmed |
Volatility of unevenly sampled fractional Brownian motion: An application to ice core records |
title_sort |
volatility of unevenly sampled fractional brownian motion: an application to ice core records |
publisher |
American Physical Society |
publishDate |
2010 |
url |
http://nora.nerc.ac.uk/id/eprint/10483/ http://link.aps.org/doi/10.1103/PhysRevE.81.016107 |
geographic |
Antarctic |
geographic_facet |
Antarctic |
genre |
Antarc* Antarctic ice core |
genre_facet |
Antarc* Antarctic ice core |
op_relation |
Davidsen, Jorn; Griffin, James. 2010 Volatility of unevenly sampled fractional Brownian motion: An application to ice core records. Physical Review E, 81 (1), 016107. 1-9. https://doi.org/10.1103/PhysRevE.81.016107 <https://doi.org/10.1103/PhysRevE.81.016107> |
op_doi |
https://doi.org/10.1103/PhysRevE.81.016107 |
container_title |
Physical Review E |
container_volume |
81 |
container_issue |
1 |
_version_ |
1766214134084403200 |