A Sequential Method of Detecting Abrupt Changes in the Correlation Coefficient and Its Application to Bering Sea Climate

Abstract

A new method of regime shift detection in the correlation coefficient is proposed. The method is designed to find multiple change-points with unknown locations in time series. It signals a possible regime shift in real time and allows for its monitoring. The method is tested on randomly generated time series with predefined change-points. It is applied to examine structural changes in the Bering Sea climate. A major shift is found in 1967, which coincides with a transition from a zonal type of atmospheric circulation to a meridional one. The roles of the Siberian and Alaskan centers of action on winter temperatures in the eastern Bering Sea have been investigated.

Keywords

• regime shift
• correlation coefficient
• Bering Sea