Appropriateness of correlated first-order auto-regressive processes for modeling daily temperature records

Radhakrishnan Nagarajan and R.B. Govindan

Physica A: Statistical Mechanics and its Applications, 2006, vol. 364, issue C, 271-275

Abstract: The present study investigates linear and volatile (nonlinear) correlations of first-order auto-regressive process with uncorrelated AR (1) and long-range correlated CAR (1) Gaussian innovations as a function of the process parameter (θ). In the light of recent findings [A. Király, I.M. Jánosi, Phys. Rev. E 65 (2002) 0511021], we discuss the choice of CAR (1) in modeling daily temperature records. We demonstrate that while CAR (1) is able to capture linear correlations it is unable to capture nonlinear (volatile) correlations in daily temperature records.

Keywords: Time series; Auto-regressive process; Detrended fluctuation analysis; Temperature records (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:364:y:2006:i:c:p:271-275

DOI: 10.1016/j.physa.2005.12.042

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