A Procedure to Analyze Air Quality Data

for the Detection of Linear Time Trends

by
Raymond Wong
Air Policy Branch
Alberta Environment
Revised May 26, 2010

Table of Contents
Introduction....................................................................................................................... 2
The characteristics of air quality data:........................................................................... 2
The objective of the present procedure: ......................................................................... 4
The model: ......................................................................................................................... 4
The estimates:.................................................................................................................... 7
The trend:........................................................................................................................ 7
The autoregressive coefficient ........................................................................................ 7
The pre-whitening to remove persistence effect............................................................. 8
Trend-free pre-whitening ................................................................................................ 8
The test............................................................................................................................... 9
The p-value and one or two tailed test.......................................................................... 11
Interpretation of results ................................................................................................. 12
References........................................................................................................................ 13

Introduction:
The detection of linear time trends in air quality data is a common process when
assessing the state of the atmospheric environment. It provides an overall description of
a time sequence and a first estimate of the general time variation of the data. In such
situations, the emphasis is not in the details of how the air quality changes over time, but
more in the general direction of change, and the magnitude of the change.

In addition,

one would like to say whether the change is statistically significant.

It is important to analyze air quality data based on their special characteristics. Some
classical statistical analysis techniques may not be appropriate as these characteristics
violate the basic assumptions of these tests. Their use may lead to erroneous results. The
present report describes a statistical procedure to analyze air quality trends taking into
consideration the major characteristics of air quality data. The procedure involves a
distribution-free estimate of trend (the Thiel-Sen estimate), a distribution-free statistical
test for trend (the Mann-Kendall test) and a recently developed approach to remove the
effect of persistence (Trend-free prewhitening). A step-by-step description to analyze air
quality data using this procedure is described.

The characteristics of air quality data:

Air quality data have certain special characteristics that need to be considered when being
analyzed statistically.
(1) The data are not usually obtained under sophisticated experimental designs. There are
no controlled applications of treatments under carefully administered randomization
scheme. They are more likely obtained through measurements using monitoring
networks or specific monitoring stations.

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(2) The data variability is large and there are many factors affecting it. Observations of
air pollutant concentration at a point could be influenced by the emission source
characteristics, emission rate, winds, temperatures, precipitation, solar radiation, terrain,
surface land condition, etc. In addition, different factors may have different importance
at different time or place and they may often interact.
(3) Skewed data distributions are common. Air quality data often follow heavily skewed
probability distributions. The skewness is usually positive, meaning there are many more
smaller observations and fewer larger ones. This means that the normal distribution
assumption required by many classical statistical methods is often violated.

The

possible existence of outlier observations, in the form of unusually large values also
contribute to significant bias in many classical techniques. Hence many resort to
distribution-free methods for analyzing air quality data or model them with heavy-tailed
probability distributions like the lognormal, gamma, Weibull, etc.
(4) Persistence or auto-correlation often exists in the data. Persistence means the data
correlate with themselves at different times. For example, what happens today depends
on what happens yesterday. There is a number of possible causes for persistence in air
quality data. One possible factor is weather conditions and a possible situation is when a
pollution episode lasts over several observational periods. Persistence means that the
independent assumption of many classical statistical methods is not satisfied. The effect
is that test results may be biased and may lead to erroneous conclusions. One estimate is
that with persistence alone, one can detect trends up to 80 percent of the time when no
trend actually exists in the data.
(5) Monitoring stations provide point measurements. However, for many practical
purposes, one needs to convert these point measurements to spatial estimates. This is the
realm of spatial statistics. An interesting comparison with hydrometric data is that the
point measurement of river discharge, say, is in itself a spatial estimate as it represents
the surplus of the water balance within a watershed. There is no comparable parameter
for an airshed and the definition of an airshed may be more political and administrative

4
than physical. The precipitation within an watershed also needs to be converted to
spatial estimates, however, but the delineation for a watershed is more physical than
political/administrative.

The objective of the present procedure:

The present procedure aims to estimate and detect linear trends in air quality data, taking
into consideration that the data distribution may be positively skewed and that there may
be persistence in the data time sequence.
A distribution-free trend test is used and a pre-whitening process is implemented when
persistence is indicated by the autocorrelation coefficient. A distribution-free estimate of
the trend is also involved. This procedure is for air quality data observed at a point.
Areal estimates and field significance of trends are not within the scope of the present
work and will be discussed elsewhere.

The models:
The model for a linear trend is basically that of a straight line. To draw a straight line
through a number of data points and test to see if the straight line trend is significant is
the statistical problem of simple linear regression. The time trend model in simple linear
regression with autocorrelated errors is :
yt 1 1t t ;

t t 1 t

(1)

where the subscript t represents time point and 1 is therefore the trend of yt. The
disturbance term t is assumed to be i.i.d. (independently identically distributed) and the
error term t is a first order autoregressive (AR1) process. The AR1 is considered useful
as a first approximation in many environmental applications where , the

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autocorrelation coefficient is positive and less than unity, which also means that the AR1
process is stationary and the linear trend is entirely contained in the 1t term (Zheng et al,
1997). For a given AR1 coefficient , simple algebraic manipulation of Equation (1)
will lead to the following model:
yt 2 2t yt 1 t

(2)

2 (1 )1 1
2 (1 ) 1

(3)

with the relationship

One may consider 2 as the persistence adjusted trend and persistence is explicitly
represented by the yt-1 term. For convenience, we will refer to Equation (1) as Model 1
and Equation (2) as Model 2. In Model 2, the persistence in error of Model 1 is
transformed into persistence in the variable yt itself. Model 1 and Model 2 are linked
via the relation (3). It means that persistence in data is directly related to persistence in
residual errors.

Both models are commonly used in detecting trends with persistence, but there is a
difference between the two sets of parameters as represented by (3) in the interpretation
of trends. A useful description is to consider the deterministic part and the stochastic
part of Model 2. The deterministic term 2 t represents a constant rate and direction of
change, whereas the stochastic term yt-1 represents random trending and wandering due
to autocorrelation and can lead to increases and decreases. (Woodward et al., 1997). The
mechanisms behind the deterministic and stochastic terms can be quite different. For

6
example, continual technological improvement is more likely to affect the deterministic
component in air pollutant data whereas natural factors such as weather systems, are
more likely to affect the stochastic component. However, there has not been any
consistency in such definition. Milionis and Davis (1994) discussed the problems of
autocorrelated errors in ordinary least squares (OLS) regression and differentiated what
they called the deterministic and stochastic trends. In their terminology and using Model
2, when 2 = 0, 2 = 0 and = 1, yt is a random walk. For 2 > 0, 2 = 0 and = 1, yt
has a stochastic trend. For 2 0 and 0 < 1, yt has a deterministic trend. This is
slightly different from the terminology of Woodward et al. (1997) mentioned above and
is in contrast with that used in Box and Jenkins (1976, p. 92) whose definition of
stochastic and deterministic trend involves the existence of a single parameter in an
autoregressive integrated moving average (ARIMA) model. For simplicity, the term
trend refers to 1 or 2 and the term persistence refers to in Equation (1) and (2)
above. While Model 1 is suitable for cases where the overall direction of change is
important, Model 2 is convenient for testing separately the trend and persistence parts.
The common environmental application is to estimate and test for the significance of the
trend in the presence of persistence, although one may also consider testing for the
significance of the persistence parameter in the presence of trend (Park and Mitchell,
1980, Weiss, 1990, Nankervis and Savid ,1996).

In the procedure described here, the focus is on the detection of trends under Model 1
since the interest is in whether an overall trend exists and not in the separation of
deterministic and stochastic components.

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The estimates:

The trend:
The estimate for trend in the present procedure is a special case of the Hodges-Lehmann
estimate, sometimes referred to as the Thiel-Sen slope estimate. (See Hollander and
Wolfe 1973, p.206, and also Sen,1968) This is similar to Kendalls rank correlation,
which is some form of central tendency of sample slope estimates. From the
computational point of view, the Thiel-Sen estimate is the median of all pair-wise slope
estimates, each computed from a pair of data points in the sequence. This is a commonly
used distribution-free alternative to the least squares regression estimate. See Wang et
al. (2001), and Hirsch at al (1982) and Burn and Elnur (2002) for more discussion.
Let t1 t2 t3 ........... tn T be sampling times, there are T(T-1)/2 distinct pairs of
values in this sequence of length T , Yi, i = 1,2,..T. Then

Y j Yi
,
t j ti

median

where 1 i j T

is the Thiel-Sen estimate of slope.

The autoregressive coefficient:
There are several ways to estimate the AR1 coefficient . Some of the classical methods
include Burgs algorithm, Yule Walker equation, least absolute deviation and ordinary
least squares methods. Preliminary results from our simulation experiments indicate that
most of these methods have relatively high variability and the familiar underestimation of

. An alternative approach is that of lag one rank correlation. This means the
calculation of Spearmans rank correlation between the original data sequence and the
same sequence lagged by one time point. This is implemented in the present procedure.
Note that in estimating AR1 coefficient, we always lose one data point.

The pre-whitening to remove persistence effect:

It is known that many trend test, distribution-free or parametric, are very sensitive to
persistence (autocorrelation) effect. The Mann-Kendall test is used in the present
procedure. The presence of autocorrelation in the data can seriously biased the MannKendall test results. Much recent research efforts have been focusing on the
development of methods to model or remove persistence effect in testing for trends. The
approach adopted in the present procedure is that of trend-free pre-whitening (TFPW).
See for example Yue et al. (2002a). Following Wang and Swail (2001), we will invoke
TFPW when the AR1 coefficient exceeds a certain level (say 0.05). This is to ensure
that any indication of persistence effect will be accounted for.
Trend-free pre-whitening:
Pre-whitening means the removal of persistence (autocorrelation) effect. The analogy is
with light where white light means equal contribution from various frequencies in the
visible spectrum. By the same token, pure random data are called white noise, where
there is no predominance from any particular range of frequencies. Persistence in the
form of first order autocorrelation is like having a low frequency predominance on the
spectrum. In terms of the visible light spectrum, the color would tend to be red and
analysts have termed first order autoregressive process the red noise process. Hence the
removal of persistence is to remove the redness in the data and make them white again,
and the process to remove persistence before further analysis is called pre-whitening.
Trend-free pre-whitening refers to the process of doing pre-whitening by first removing
the linear trend. This is to ensure minimal interaction between trend and persistence
which often creates problems in both estimation and testing. Persistence (represented by
the AR1 coefficient ) in the residuals (the data that remain after the removal of trend) is
then estimated and removed by inverse filtering. The removed trend is then added back

9
onto the pre-whitened data and the Mann-Kendall test is applied to test for significance of
trend. Specifically, the technique involves the following steps:
(1) The linear trend 1 is first estimated from the data sequence, using the Theil-Sen
approach mentioned above.
(2) The data sequence is then detrended using the result in (1). This is to remove the
linear trend from the data.
(3) The resulting residuals are used in the estimation of the AR1 autoregressive
coefficient using the Spearmans rho.
(4) If the absolute value of AR1 coefficient is less than or equal to 0.05, the original set
of data is tested for trends using the Mann-Kendall test. However, if greater than 0.05,
then the following steps occur.
(5) The same residuals are then inverse-filtered using the AR1 coefficient to remove the
persistence effect. This leaves a prewhitened sequence of residuals.
(6) The prewhitened residuals are then added back to the trend which has been removed
earlier in step (2).
(7) This final sequence, now has only the original trend but no persistence in the
residuals, is then subjected to the Mann-Kendall test.

The test:

The distribution-free test for trend used in the present procedure is the Mann-Kendall test
(Mann 1945, Kendall 1975). See also Gilbert (1987). This is a test for the significance
of linear trend which handles missing data better than the Spearmans rho and have
similar power. (Yue et al, 2002b) . The null hypothesis to be tested is:

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H0: The data sequence Yi, i = 1,2,..T. is a random sample of T

independent and identically distributed variables.
If a trend exists, the H0 will be rejected at the specified level of significance. The test
statistic for the Mann-Kendall test for trend is:
T 1

sgn (Y

k 1 j k 1

Yk )

where
1 if x 0

sgn( x) 0 if x 0

1 if x 0

The distribution of S is symmetric about zero and is normal in the limit as T tends to
infinity. However, a good approximation by the normal distribution can be attained at T=
n about 40. See for example Gilbert (1987). In fact, Mann (1946) and Kendall (1975,
p.55) have documented that the normal approximation can be applied to cases with n 8
if there are not many ties.

With the normal approximation, it is assumed that the

expected value and variance of S under H0 are:

E (S ) 0
n

V (S )

n(n 1)(2n 5) tm m(m 1)(2m 5)

m 1

18

where tm is the number of ties of extent m. The standardized test statistic Z with
continuity correction is computed by:

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S 1
,
V (S )

S 0
S 0

0,
S 1
,
V (S )

S 0

The p-value is then computed based on the standard normal distribution:

Pr Z z

1
2

exp

t 2 / 2

dt for positive Z

and vice versa for negative Z.

For shorter sequences, the p-values are available from tables. As an alternative, the pvalue can also be assessed using a permutation approach. In this case, the null
distribution of the test statistic, S, is derived by randomly generating a large number of
sequences (say 5000) from the original data and calculating the test statistic for each.
The p-value is the probability of the observed S being exceeded under the null
distribution. One can compare this permutation p-value to the p-value from normal
approximation and from tables and find that there is good agreement. The permutation
p-value is used for determining trend significance in all cases.
The p-value and one- or two-tailed test:
Statistical significance at a specified level, say 5 percent, means that the probability of
that trend observed due to random chance is small (5 percent). In other words, one is
saying that the trend exists, and the probability of one being wrong is small. A p-value is
the probability of having a test statistic (in this case S) that is as or more extreme than the
observed one.

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A two-tailed test is often appropriate for situations in air quality analysis, where one is
looking at the possibility of both an upward and a downward trend. For a two-tailed test,
the 5 percent significance level would mean p-values of 0.025 or less to attain
significance. For values not listed in the entries of the table, one can simply interpolate
to obtain the p-value. In situation where a one-tailed test is appropriate, p-values less
than or equal to 0.05 mean significance at the = 0.05 level.

Interpretation of results:

To conclude whether there exists a linear trend in the data sequence, one should first
decide whether there is persistence in the data, which will decide how the Mann-Kendall
test is to be performed.

A trend exists if the p-value is smaller than the given

significance level, which is or /2, depending on one or two-tailed test. However, one
should also consider the importance of practical significance in addition to statistical
significance when interpreting the results. For example, a trend of 10-5
may be statistically significant, but have no practical significance because it is so small.
Alternately, one may consider the indication of a large but statistically insignificant trend
as the sample size and power of the test may not allow its detection with statistical
significance. The consideration of practical significance depends greatly on the decision
makers viewpoint of the issue at hand and is beyond the scope of the present report.

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of Hydrol. 255, 107-122.
Kendall, M.G. 1975. Rank Correlation Methods. Griffin, London.
Gilbert, R.O. 1987. Statistical Methods for Environmental Pollution Monitoring. Van
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Hirsch R.M. Slack, J.R. and Smith, R.A. 1982. Techniques of trend analysis for monthly
water quality data. Water Resources Research. 18(1), 107-121.
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