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Practical guide to using Kendall's τ in the context of forecasting critical transitions.


ABSTRACT: Recent studies demonstrate that trends in indicators extracted from measured time series can indicate an approach of an impending transition. Kendall's τ coefficient is often used to study the trend of statistics related to the critical slowing down phenomenon and other methods to forecast critical transitions. Because statistics are estimated from time series, the values of Kendall's τ are affected by parameters such as window size, sample rate and length of the time series, resulting in challenges and uncertainties in interpreting results. In this study, we examine the effects of different parameters on the distribution of the trend obtained from Kendall's τ, and provide insights into how to choose these parameters. We also suggest the use of the non-parametric Mann-Kendall test to evaluate the significance of a Kendall's τ value. The non-parametric test is computationally much faster compared with the traditional parametric auto-regressive, moving-average model test.

SUBMITTER: Chen S 

PROVIDER: S-EPMC9326300 | biostudies-literature | 2022 Jul

REPOSITORIES: biostudies-literature

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Practical guide to using Kendall's <i>τ</i> in the context of forecasting critical transitions.

Chen Shiyang S   Ghadami Amin A   Epureanu Bogdan I BI  

Royal Society open science 20220727 7


Recent studies demonstrate that trends in indicators extracted from measured time series can indicate an approach of an impending transition. Kendall's <i>τ</i> coefficient is often used to study the trend of statistics related to the critical slowing down phenomenon and other methods to forecast critical transitions. Because statistics are estimated from time series, the values of Kendall's <i>τ</i> are affected by parameters such as window size, sample rate and length of the time series, resul  ...[more]

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