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	<title>Comments on: Principal Components applied to Red Noise</title>
	<atom:link href="http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/feed/" rel="self" type="application/rss+xml" />
	<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/</link>
	<description>by Steve McIntyre</description>
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		<title>By: Milan Palus</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40788</link>
		<dc:creator><![CDATA[Milan Palus]]></dc:creator>
		<pubDate>Mon, 13 Mar 2006 19:56:51 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40788</guid>
		<description><![CDATA[Looking for some SVD/PCA applications I found this page. Theer are several papers dealing with distinguishing signals in red noise incl. on of mine 9with references to the other:
Title: Enhanced Monte Carlo Singular System Analysis and detection of period 7.8 years oscillatory modes in the monthly NAO index and temperature records
Author(s): Palus M, Novotna D
Source: NONLINEAR PROCESSES IN GEOPHYSICS 11 (5-6): 721-729 2004]]></description>
		<content:encoded><![CDATA[<p>Looking for some SVD/PCA applications I found this page. Theer are several papers dealing with distinguishing signals in red noise incl. on of mine 9with references to the other:<br />
Title: Enhanced Monte Carlo Singular System Analysis and detection of period 7.8 years oscillatory modes in the monthly NAO index and temperature records<br />
Author(s): Palus M, Novotna D<br />
Source: NONLINEAR PROCESSES IN GEOPHYSICS 11 (5-6): 721-729 2004</p>
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		<title>By: McCall</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40787</link>
		<dc:creator><![CDATA[McCall]]></dc:creator>
		<pubDate>Tue, 22 Nov 2005 07:00:01 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40787</guid>
		<description><![CDATA[Correction to 11 -- Moberg&#039;05 (not Monnin) referenced Keigwin&#039;96, and found more pronounced MWP and LIA.]]></description>
		<content:encoded><![CDATA[<p>Correction to 11 &#8212; Moberg&#8217;05 (not Monnin) referenced Keigwin&#8217;96, and found more pronounced MWP and LIA.</p>
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		<title>By: Brooks Hurd</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40786</link>
		<dc:creator><![CDATA[Brooks Hurd]]></dc:creator>
		<pubDate>Tue, 22 Nov 2005 06:28:33 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40786</guid>
		<description><![CDATA[According to the promo for the History Channel show, the LIA froze the Vikings in Greenland.

I made this point to William Connolley. He told me that

&quot;....it wasn&#039;t all green! just like now, it was mostly covered in ice!&quot;

It seems that the Hockey Team believes that the Vikings colonized a glacier.

For the Vikings to colonize a glacier which was located several days&#039; sail from their nearest permanent settlement would be somewhat analogous to 21st century man establishing a colony on the moon. You would need to bring in most building materials and at least some of the food to keep the colony going. The logistics would have been daunting (without the MWP).]]></description>
		<content:encoded><![CDATA[<p>According to the promo for the History Channel show, the LIA froze the Vikings in Greenland.</p>
<p>I made this point to William Connolley. He told me that</p>
<p>&#8220;&#8230;.it wasn&#8217;t all green! just like now, it was mostly covered in ice!&#8221;</p>
<p>It seems that the Hockey Team believes that the Vikings colonized a glacier.</p>
<p>For the Vikings to colonize a glacier which was located several days&#8217; sail from their nearest permanent settlement would be somewhat analogous to 21st century man establishing a colony on the moon. You would need to bring in most building materials and at least some of the food to keep the colony going. The logistics would have been daunting (without the MWP).</p>
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		<title>By: McCall</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40785</link>
		<dc:creator><![CDATA[McCall]]></dc:creator>
		<pubDate>Tue, 22 Nov 2005 04:47:48 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40785</guid>
		<description><![CDATA[Sorry - this was mistakenly posted on another thread... should have been here.

Regarding next broadcast of LIA on the History Channel, is at 17:00 on 26-NOV (Saturday).
http://www.historychannel.com/global/listings/series_showcase.jsp?EGrpType=Series&amp;Id=16021920&amp;NetwCode=THC

NOTE: As part of the advertising teaser, the claim is it (the LIA) &quot;decimated the Spanish Armada!&quot; Oh well, looks like hyping the local WEATHER event impact of a changing global CLIMATE can happen on both ends of the temp scale.

Will we soon see a thread on how the show actually supports MBH&#039;98 and &quot;
98 on RC.org?]]></description>
		<content:encoded><![CDATA[<p>Sorry &#8211; this was mistakenly posted on another thread&#8230; should have been here.</p>
<p>Regarding next broadcast of LIA on the History Channel, is at 17:00 on 26-NOV (Saturday).<br />
<a href="http://www.historychannel.com/global/listings/series_showcase.jsp?EGrpType=Series&#038;Id=16021920&#038;NetwCode=THC" rel="nofollow">http://www.historychannel.com/global/listings/series_showcase.jsp?EGrpType=Series&#038;Id=16021920&#038;NetwCode=THC</a></p>
<p>NOTE: As part of the advertising teaser, the claim is it (the LIA) &#8220;decimated the Spanish Armada!&#8221; Oh well, looks like hyping the local WEATHER event impact of a changing global CLIMATE can happen on both ends of the temp scale.</p>
<p>Will we soon see a thread on how the show actually supports MBH&#8217;98 and &#8221;<br />
98 on RC.org?</p>
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		<title>By: McCall</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40784</link>
		<dc:creator><![CDATA[McCall]]></dc:creator>
		<pubDate>Tue, 22 Nov 2005 04:02:13 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40784</guid>
		<description><![CDATA[Re: 5 -- you&#039;re on the right track!

Haven&#039;t seen the show, but selective sea sediment core choices could easily been made.  Dr. Mann has already showed a preference for Dr. Keigwin&#039;s Pickart&#039;99 Newfoundland core (which statistically cools the MWP, and warms the LIA in multi-proxy), to Keigwin&#039;s Sargasso Sea cores which show a pronounced MWP and to a lesser extent LIA.  This was discussed in http://www.climateaudit.org/?p=145 -- as was pointed out there, Monnin included Keigwin&#039;s Sargassos &#039;96, and of course showed a MWP and LIA more in line which pre-HS thinking.]]></description>
		<content:encoded><![CDATA[<p>Re: 5 &#8212; you&#8217;re on the right track!</p>
<p>Haven&#8217;t seen the show, but selective sea sediment core choices could easily been made.  Dr. Mann has already showed a preference for Dr. Keigwin&#8217;s Pickart&#8217;99 Newfoundland core (which statistically cools the MWP, and warms the LIA in multi-proxy), to Keigwin&#8217;s Sargasso Sea cores which show a pronounced MWP and to a lesser extent LIA.  This was discussed in <a href="http://www.climateaudit.org/?p=145" rel="nofollow">http://www.climateaudit.org/?p=145</a> &#8212; as was pointed out there, Monnin included Keigwin&#8217;s Sargassos &#8217;96, and of course showed a MWP and LIA more in line which pre-HS thinking.</p>
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		<title>By: Steve McIntyre</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40783</link>
		<dc:creator><![CDATA[Steve McIntyre]]></dc:creator>
		<pubDate>Mon, 21 Nov 2005 23:33:51 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40783</guid>
		<description><![CDATA[log likelihood and Akaiche Information Criterion are used. It&#039;s dissatisfying to use criteria like this. I&#039;m not sure of the &quot;correct&quot; way to handle these things. What does seem likely to me is that you can&#039;t just ignore the error structure. The Hockey Team blithely assumes that everything is gaussian and independently distributely, when it isn&#039;t. It seems to me that these ARMA(1,1) structures are common in climate time series.  There&#039;s a big difference in the properties of a model in which the series are AR1=0.3 and ARMA (0.95, -0.7) even if the distinction has to be done on log likelihood. Or at least, if you&#039;re estimating confidence intervals, you can&#039;t assume that everything is i.i.d. when the residuals have such a strong ARMA structure.]]></description>
		<content:encoded><![CDATA[<p>log likelihood and Akaiche Information Criterion are used. It&#8217;s dissatisfying to use criteria like this. I&#8217;m not sure of the &#8220;correct&#8221; way to handle these things. What does seem likely to me is that you can&#8217;t just ignore the error structure. The Hockey Team blithely assumes that everything is gaussian and independently distributely, when it isn&#8217;t. It seems to me that these ARMA(1,1) structures are common in climate time series.  There&#8217;s a big difference in the properties of a model in which the series are AR1=0.3 and ARMA (0.95, -0.7) even if the distinction has to be done on log likelihood. Or at least, if you&#8217;re estimating confidence intervals, you can&#8217;t assume that everything is i.i.d. when the residuals have such a strong ARMA structure.</p>
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		<title>By: Chas</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40782</link>
		<dc:creator><![CDATA[Chas]]></dc:creator>
		<pubDate>Mon, 21 Nov 2005 23:05:26 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40782</guid>
		<description><![CDATA[It would be interesting to see the spectral composition of an AR 0.3 process, as some annual series leap straight from an AR 0.3 to an ARMA (0.9, -0.5).
I must admit however (as a non-economist)that I find ARMA a bit unsettling; one gets apparently highly significant coefficients yet the total residuals dont seem to reduce much. Looking at the big differences shown youve shown in your plots, makes me feel even worse!

Is there a simple metric that indicates how much more likely &#039;model A&#039; (eg an ARMA) is to be true than say &#039;model B&#039; ( an AR1)?]]></description>
		<content:encoded><![CDATA[<p>It would be interesting to see the spectral composition of an AR 0.3 process, as some annual series leap straight from an AR 0.3 to an ARMA (0.9, -0.5).<br />
I must admit however (as a non-economist)that I find ARMA a bit unsettling; one gets apparently highly significant coefficients yet the total residuals dont seem to reduce much. Looking at the big differences shown youve shown in your plots, makes me feel even worse!</p>
<p>Is there a simple metric that indicates how much more likely &#8216;model A&#8217; (eg an ARMA) is to be true than say &#8216;model B&#8217; ( an AR1)?</p>
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		<title>By: Steve McIntyre</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40781</link>
		<dc:creator><![CDATA[Steve McIntyre]]></dc:creator>
		<pubDate>Mon, 21 Nov 2005 13:26:07 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40781</guid>
		<description><![CDATA[My sense also was that the PC1 is finding something like a sine-wave with a period related to a simple fraction of N. It sort of makes sense when you think about it, but it&#039;s still entirely artificial.]]></description>
		<content:encoded><![CDATA[<p>My sense also was that the PC1 is finding something like a sine-wave with a period related to a simple fraction of N. It sort of makes sense when you think about it, but it&#8217;s still entirely artificial.</p>
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		<title>By: mark</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40780</link>
		<dc:creator><![CDATA[mark]]></dc:creator>
		<pubDate>Mon, 21 Nov 2005 08:01:51 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40780</guid>
		<description><![CDATA[there&#039;s an interesting article about wavelets in the current issue of the IEEE Signal Processing Society magazine.  in particular, the concept of a dual-tree decomposition is discussed.  i haven&#039;t gotten into it yet (there are several other articles i&#039;m even more interested in), but it doesn&#039;t seem anything more involved than stripping off half-bands from each of the coefficient stages, i.e. perform hi/lo filtering at each stage on both the hi and lo coefficient sets.  just another multi-rate filter bank i think.

to my surprise, btw, the article also referred to them as &quot;bandpass&quot; filters, which seems odd to me.  i commented in another thread about this not being the case, but apparently i was mistaken (at least, mistaken that they are viewed in such a manner).  i suppose the end-stage coefficients are indeed from a selected band, but individually they behave as lowpass and highpass pairs.

IMO, the primary reason for using any sort of wavelet analysis is that there are less people in the world that have even heard of it.  the time-frequency characteristic is nifty, but not that much more nifty than a spectrogram.  also, you&#039;d still have the problem of weighting depending upon how you stitched the various proxies together.

mark

PS: i watched part of the LIA show, too.  interesting things happened in an era that apparently didn&#039;t exist according to bristlecone pine trees. :)]]></description>
		<content:encoded><![CDATA[<p>there&#8217;s an interesting article about wavelets in the current issue of the IEEE Signal Processing Society magazine.  in particular, the concept of a dual-tree decomposition is discussed.  i haven&#8217;t gotten into it yet (there are several other articles i&#8217;m even more interested in), but it doesn&#8217;t seem anything more involved than stripping off half-bands from each of the coefficient stages, i.e. perform hi/lo filtering at each stage on both the hi and lo coefficient sets.  just another multi-rate filter bank i think.</p>
<p>to my surprise, btw, the article also referred to them as &#8220;bandpass&#8221; filters, which seems odd to me.  i commented in another thread about this not being the case, but apparently i was mistaken (at least, mistaken that they are viewed in such a manner).  i suppose the end-stage coefficients are indeed from a selected band, but individually they behave as lowpass and highpass pairs.</p>
<p>IMO, the primary reason for using any sort of wavelet analysis is that there are less people in the world that have even heard of it.  the time-frequency characteristic is nifty, but not that much more nifty than a spectrogram.  also, you&#8217;d still have the problem of weighting depending upon how you stitched the various proxies together.</p>
<p>mark</p>
<p>PS: i watched part of the LIA show, too.  interesting things happened in an era that apparently didn&#8217;t exist according to bristlecone pine trees. <img src='http://s0.wp.com/wp-includes/images/smilies/icon_smile.gif' alt=':)' class='wp-smiley' /> </p>
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		<title>By: Martin Ringo</title>
		<link>http://climateaudit.org/2005/11/19/principal-components-applied-to-red-noise/#comment-40779</link>
		<dc:creator><![CDATA[Martin Ringo]]></dc:creator>
		<pubDate>Mon, 21 Nov 2005 05:22:50 +0000</pubDate>
		<guid isPermaLink="false">http://www.climateaudit.org/?p=436#comment-40779</guid>
		<description><![CDATA[The graphs of the autogressive processes seem intuitive.  While I don&#039;t understand wavelets, I am interpreting the graphs akin to a regression fit (partial R-squareds) on sin functions of increasing period (decreasing frequency).  For white noise there shouldn&#039;t be much fit for long periods but lot for a period of 2.  At the other end, for an AR(1) of 1.00, there should be lots of long runs relative the standard deviation of the process.  Indeed the expected run is infinite -- that&#039;s one long cycle.  For a finite length series one should expect to see a lot a the sin type curvature centering around a period of N/2.  (At least I think it should be N/2.)

The long runs are going to have a lot more squared variation than the noise type behavior within the run, and thus the first principal component should be expected to pick up the period of those runs as opposed to the shorter period sawtooth behavior within the long runs.  The greater the AR(1) coefficient the more likely the first PC is to be dominated by the long periods.  Given a set of K series, there will be one with considerably longer apparent period than the average for the particular AR coefficient.  This presumably is the reason for the greater period in the PC1 of the 70 series versus the distribution of variance in the typical series.

There is an analogy in regression of PCs on PCs.  Take two sets of NxK series of white noise, X&#039;s and Y&#039;s.  Run regressions of the individual series on individual series and you get the expected rejection rates on the coefficients for the X&#039;s.  Same holds for the PC1 of the Y&#039;s on PC1 of the Y&#039;s.  But when you throw in serial correlation, say AR(1) = 0.8, the individual series will reject at roughly a 35% rate instead of the 5% rate of the classical model.  That is an example of the standard &quot;spurious regression&quot; result. But the PC1 of the Y&#039;s on the PC1 of the X&#039;s will reject at 50%.  Further, the PC(K), the last PC, on PC(K) will reject at a 15%, much closer to the classical mode.  (These results are for a 400x40 set of Y&#039;s and X&#039;s.  The effect will increase/decrease with the increase/decrease of the number of columns.) This exacerbation of the spurious regression effect could be interpreted as saying the PC1 removes the big changes, which are the long runs and hence long periods, and the sequential PC&#039;s continue to &quot;filter&quot; out the remaining longest runs until the last PC is left with something that is most like white noise.  Of course the &quot;filtering&quot; should not be taken literally since all the principal components can do is pick axes of the transformation in the data space.

These characteristics are what make principal components (and factor analysis) useful, but it is really not a technique that should be used to make regressors and regressands or any thing else to be used in subsequent squared distance minimization or maximization routine.]]></description>
		<content:encoded><![CDATA[<p>The graphs of the autogressive processes seem intuitive.  While I don&#8217;t understand wavelets, I am interpreting the graphs akin to a regression fit (partial R-squareds) on sin functions of increasing period (decreasing frequency).  For white noise there shouldn&#8217;t be much fit for long periods but lot for a period of 2.  At the other end, for an AR(1) of 1.00, there should be lots of long runs relative the standard deviation of the process.  Indeed the expected run is infinite &#8212; that&#8217;s one long cycle.  For a finite length series one should expect to see a lot a the sin type curvature centering around a period of N/2.  (At least I think it should be N/2.)</p>
<p>The long runs are going to have a lot more squared variation than the noise type behavior within the run, and thus the first principal component should be expected to pick up the period of those runs as opposed to the shorter period sawtooth behavior within the long runs.  The greater the AR(1) coefficient the more likely the first PC is to be dominated by the long periods.  Given a set of K series, there will be one with considerably longer apparent period than the average for the particular AR coefficient.  This presumably is the reason for the greater period in the PC1 of the 70 series versus the distribution of variance in the typical series.</p>
<p>There is an analogy in regression of PCs on PCs.  Take two sets of NxK series of white noise, X&#8217;s and Y&#8217;s.  Run regressions of the individual series on individual series and you get the expected rejection rates on the coefficients for the X&#8217;s.  Same holds for the PC1 of the Y&#8217;s on PC1 of the Y&#8217;s.  But when you throw in serial correlation, say AR(1) = 0.8, the individual series will reject at roughly a 35% rate instead of the 5% rate of the classical model.  That is an example of the standard &#8220;spurious regression&#8221; result. But the PC1 of the Y&#8217;s on the PC1 of the X&#8217;s will reject at 50%.  Further, the PC(K), the last PC, on PC(K) will reject at a 15%, much closer to the classical mode.  (These results are for a 400&#215;40 set of Y&#8217;s and X&#8217;s.  The effect will increase/decrease with the increase/decrease of the number of columns.) This exacerbation of the spurious regression effect could be interpreted as saying the PC1 removes the big changes, which are the long runs and hence long periods, and the sequential PC&#8217;s continue to &#8220;filter&#8221; out the remaining longest runs until the last PC is left with something that is most like white noise.  Of course the &#8220;filtering&#8221; should not be taken literally since all the principal components can do is pick axes of the transformation in the data space.</p>
<p>These characteristics are what make principal components (and factor analysis) useful, but it is really not a technique that should be used to make regressors and regressands or any thing else to be used in subsequent squared distance minimization or maximization routine.</p>
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