Comments on: Independent and Autocorrelated: Some Examples http://climateaudit.org/2005/08/27/independent-and-autocorrelated-some-examples/ by Steve McIntyre Sat, 18 May 2013 18:00:17 +0000 hourly 1 http://wordpress.com/ By: Chas http://climateaudit.org/2005/08/27/independent-and-autocorrelated-some-examples/#comment-36433 Sat, 03 Sep 2005 20:38:45 +0000 http://www.climateaudit.org/?p=328#comment-36433 Further to #5 There are Freeware Excel add-ins for autocorrelation and ARMA at http://www.web-reg.de/index.html
They seem to integrate extremely well into Excel. [They do have a quick flash screen explaining that the author is looking for a job].
Use the ‘standard error of regression’ from the ARMA output worksheet for the standard deviation of the random number series, in a reconstruction.
Incidently to create a volatile normally-distributed random number series using Excel’s inbuilt functions: Drag down RAND (which is volatile) and then drag down NORMINV setting its ‘probability’ value to the value given by the RAND function in the same row.

-As clear as mud, I suspect!

]]> By: Chas http://climateaudit.org/2005/08/27/independent-and-autocorrelated-some-examples/#comment-36432 Wed, 31 Aug 2005 01:11:27 +0000 http://www.climateaudit.org/?p=328#comment-36432 Luckily the recipe gives identical trend-line results to Steve’s R script [using AR1 =0.92 MA= -0.32 and SD for the random numbers of 0.11] ,so the MA1 part seems to be OK.

]]> By: Chas http://climateaudit.org/2005/08/27/independent-and-autocorrelated-some-examples/#comment-36431 Tue, 30 Aug 2005 09:35:13 +0000 http://www.climateaudit.org/?p=328#comment-36431 Re #1
I sort of agree with TCO, it would be nice to have a single location where simple autocorrelation tutorial could live.
To make matters a bit worse than they are, presently (‘gambling runs’ is falling off the bottom of the page):
To make an AR1 series (value 0.9, say)in Excel
Create a column of normally distributed random numbers (tools=> data analysis) with mean zero and SD 1
Place a value of zero at the top of the column adjacent to it.
Below this zero make the cell’s value equal to 0.9 times the value above it (in this case zero) and add the adajcent random number.
Drag this formula down.

This is a bit dull; to liven things up a bit download the 30 day free demo of Resampling Stats for Excel add-in http://www.resample.com
The program has a volatile random number generator (RXL normal)function so when one changes any cell on the page the random series is regenerated afresh (one can also stick a trend lines through the series and use its ‘resample and score’ to do a few thousand runs and plot these out with it’s autobin histogram )

Im not too clear on the MA1 part but I beleive it refers to random series itself: A series with an MA1 of 0.3 adds the error of the adjacent random cell plus 0.3 times the value of the random no. above it
-Please correct me if I have this wrong.

]]> By: Michael Ballantine http://climateaudit.org/2005/08/27/independent-and-autocorrelated-some-examples/#comment-36430 Sun, 28 Aug 2005 11:56:44 +0000 http://www.climateaudit.org/?p=328#comment-36430 Let’s try that link again.

http://mv.lycaeum.org/M2/noise_ahf.html

]]> By: Michael Ballantine http://climateaudit.org/2005/08/27/independent-and-autocorrelated-some-examples/#comment-36429 Sun, 28 Aug 2005 11:56:12 +0000 http://www.climateaudit.org/?p=328#comment-36429 TCO,
1. What is white noise. What is red noise? A reasonably clear explanation can be found at this link. It refers to music but can apply to anything with a “frequency”.

]]> By: fFreddy http://climateaudit.org/2005/08/27/independent-and-autocorrelated-some-examples/#comment-36428 Sun, 28 Aug 2005 11:31:08 +0000 http://www.climateaudit.org/?p=328#comment-36428 Steve, if you have time (hollow laugh) it might be a good idea to put together a Statistics FAQ with brief definitions and links, either to posts here where you expand on a particular subject, or else external sources that you think useful. If it all went through a single FAQ, it would be relatively easy to link to it each time you use a term that you recall is defined in your FAQ. Or just have the FAQ near the top of the side bar.

TCO, apologies if I’m being thick, but what is DOE ?

]]> By: TCO http://climateaudit.org/2005/08/27/independent-and-autocorrelated-some-examples/#comment-36427 Sun, 28 Aug 2005 02:45:18 +0000 http://www.climateaudit.org/?p=328#comment-36427 (being undisciplined) Well…you tried. I guess this is supposed to be a tutorial to the basic concepts at play in some of your stats blogs. But you still have a lot of places, where you assume the reader already knows what you are teaching him. Like the reference to AR and MA, without explanation (maybe ok in your other posts…but not in one that is supposed to be explanatory.

On content:
1. What is white noise. What is red noise?
2. I’m still thinking about run order which is a variable in DOE. This would seem to equate to time in these climate studies. Do you think that we handle run order appropriately in manufacturing based studies? I wonder if there is some way to help equate what is done with run order in DOE with the concerns about trend estimation.

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