Identifying and characterising dynamical regime shifts, critical transitions or potential tipping points in palaeoclimate time series is relevant for improving the understanding of often highly nonlinear Earth system dynamics. Beyond linear changes in time series properties such as mean, variance, or trend, these nonlinear regime shifts can manifest as changes in signal predictability, regularity, complexity, or higher-order stochastic properties such as multi-stability. In recent years, several classes of methods have been put forward to study these critical transitions in time series data that are based on concepts from nonlinear dynamics, complex systems science, information theory, and stochastic analysis. These include approaches such as phase space-based recurrence plots and recurrence networks, visibility graphs, order pattern-based entropies, and stochastic modelling.