A model-free test of the time-reversibility of climate change processes

Yuichi Goto; Marc Hallin

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arXiv · 2411.11248

A model-free test of the time-reversibility of climate change processes

Yuichi Goto·Marc Hallin

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Abstract

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.

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Yuichi Goto, Marc Hallin. 2024-11-18. A model-free test of the time-reversibility of climate change processes. https://arxiv.org/abs/2411.11248

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