Attribution of flood changes with time series in the presence of autocorrelation: Modifications for Spearman‘s Rho and Kendall‘s Tau
- 1Institute of Hydraulic Engineering and Water Resources Management, Vienna University of Technology, Vienna, Austria
- 2Institute of Hydrology, Water Resources Management and Environmental Engineering, Ruhr-University Bochum, Bochum, Germany
- 3Department of Environment, Land and Infrastructure Engineering, Politecnico di Torino, Turin, Italy
Statistical dependency measures such as Kendall’s Tau or Spearman’s Rho are frequently used to analyse the coherence between time series in environmental data analyses. Autocorrelation of the data can however result in spurious cross correlations if not accounted for. Here, we present the asymptotic distribution of the estimators of Spearman’s Rho and Kendall’s Tau, which can be used for statistical hypothesis testing of cross-correlations between autocorrelated observations. The results are derived using U-statistics under the assumption of absolutely regular (or β-mixing) processes. These comprise many short-range dependent processes, such as ARMA-, GARCH- and some copula-based models relevant in the environmental sciences. We show that while the assumption of absolute regularity is required, the specific type of model does not have to be specified for the hypothesis test. Simulations show the improved performance of the modified hypothesis test for some common stochastic models and small to moderate sample sizes under autocorrelation. The methodology is applied to observed time series of flood discharges and temperatures in Europe and yields results that are consistent with the literature on flood regime changes in Europe. While the standard test results in spurious correlations between floods and temperatures, this is not the case for the proposed test, which is more consistent with the literature on flood regime changes in Europe.
How to cite: Lun, D., Fischer, S., Viglione, A., and Blöschl, G.: Attribution of flood changes with time series in the presence of autocorrelation: Modifications for Spearman‘s Rho and Kendall‘s Tau, EGU General Assembly 2023, Vienna, Austria, 24–28 Apr 2023, EGU23-7352, https://doi.org/10.5194/egusphere-egu23-7352, 2023.