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How one might miss early warning signals of critical transitions in time series data: A systematic study of two major currency pairs

机译：如何错过时间序列数据中临界过渡的早期警告信号：对两种主要货币对的系统研究

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摘要

There is growing interest in the use of critical slowing down and critical fluctuations as early warning signals for critical transitions in different complex systems. However, while some studies found them effective, others found the opposite. In this paper, we investigated why this might be so, by testing three commonly used indicators: lag-1 autocorrelation, variance, and low-frequency power spectrum at anticipating critical transitions in the very-high-frequency time series data of the Australian Dollar-Japanese Yen and Swiss Franc-Japanese Yen exchange rates. Besides testing rising trends in these indicators at a strict level of confidence using the Kendall-tau test, we also required statistically significant early warning signals to be concurrent in the three indicators, which must rise to appreciable values. We then found for our data set the optimum parameters for discovering critical transitions, and showed that the set of critical transitions found is generally insensitive to variations in the parameters. Suspecting that negative results in the literature are the results of low data frequencies, we created time series with time intervals over three orders of magnitude from the raw data, and tested them for early warning signals. Early warning signals can be reliably found only if the time interval of the data is shorter than the time scale of critical transitions in our complex system of interest. Finally, we compared the set of time windows with statistically significant early warning signals with the set of time windows followed by large movements, to conclude that the early warning signals indeed provide reliable information on impending critical transitions. This reliability becomes more compelling statistically the more events we test.
机译：在使用临界放缓和临界波动时，在不同复杂系统中的临界过渡的早期警告信号的利益越来越感兴趣。然而，虽然一些研究发现它们有效，但其他研究发现相反。在本文中，我们调查了为什么通过测试三种常用的指标：LAG-1自相关，方差和低频功率频谱来预测澳大利亚美元的非常高频时间序列数据中的临界转换-Japanese日元和瑞士法郎 - 日元汇率。除了使用KENDALL-TAU测试的严格的信心水平测试这些指标的上升趋势外，我们还要求在三个指标中并发的统计上显着的预警信号，必须升级可观的价值。然后，我们为我们的数据设置了用于发现关键转换的最佳参数，并显示发现的一组关键转换通常对参数的变化非常不敏感。怀疑文献中的负面结果是低数据频率的结果，我们创建了时间序列，时间间隔超过了从原始数据的三个数量级，并测试了预警信号。只有在数据的时间间隔短于我们的复杂感兴趣系统中的临界转换的时间规模短的时间间隔时，才能可靠地找到预警信号。最后，我们将时间窗口与统计上显着的预警信号进行了比较了与大量的时间窗口，然后是大的运动，得出结论，预警信号确实提供了关于即将到来的临界转换的可靠信息。这种可靠性变得更加引人注目，我们测试的事件越多。

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  • 来源
    《Journal of land use science》 |2018年第3期|共22页
  • 作者

    Wen Haoyu; Ciamarra Massimo Pica; Cheong Siew Ann;

  • 作者单位

    Nanyang Technol Univ Sch Phys &

    Math Sci Div Phys &

    Appl Phys Singapore Singapore;

    Nanyang Technol Univ Sch Phys &

    Math Sci Div Phys &

    Appl Phys Singapore Singapore;

    Nanyang Technol Univ Sch Phys &

    Math Sci Div Phys &

    Appl Phys Singapore Singapore;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 地球物理学;
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