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

Citation

Ghadami, Amin; Chen, Shiyang; Epureanu, Bogdan I. (2022), Practical guide to using Kendall’s τ in the context of forecasting critical transitions, Dryad, Dataset, https://doi.org/10.5061/dryad.c59zw3r7z

Abstract

Recent studies demonstrate that trends in indicators extracted from measured time series can indicate approaching to 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’sτare 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’sτvalue. The non-parametric test is computationally much faster compared to the traditional parametric ARMA test.

Funding

National Institutes of Health, Award: U01GM110744