Nonstationary, long memory and anti-persistence in several climatological time series data
Author: Gil-Alana, Luis A.
Source: Environmental Modeling and Assessment, Volume 11, Number 1, February 2006 , pp. 19-29(11)
Abstract:In this article we examine the stochastic behaviour of several daily datasets describing sun (total irradiance at the top of the atmosphere and sunspot numbers) and various climatological anomaly series by looking at their orders of integration. We use a testing procedure that permits us to consider fractional degrees of integration. The tests are valid under general forms of serial correlation and deterministic trends and do not require estimation of the fractional differencing parameter. Results show that the series are all nonstationary, with increments that might be stationary for those variables affecting sun, and anti-persistent for those affecting air temperatures.
Document Type: Research article
Publication date: 2006-02-01