I’ve been posting up on some fundamental articles on spurious regression, involving autocorrelated processes. Here are some illustrations of what different examples look like, with specific comment on a realclimate article.
I will go approximately 50-50 for a while on posting statistical and non-statistical notes. Today’s another statistical note. It’s a bit technical, but some of the statistical findings from econometrics on autocorrelated series are highly applicable to climate and, while there is occasional citation of econometric literature in climate articles and occasional forays by econometricians […]
Granger and Newbold [1974] provided examples of spurious significance in a random walk context. This has been extended by various authors to a number of other persistent processes. Granger and Newbold suggested that the DW statistic could be used to test the autocorrelation in the residuals, giving a test that could be used in a […]
"Spurious significance" was a phrase used in the title of our GRL article. We regarded this as perhaps the most essential point of the article, but it seems to have gotten lost. This is the second of a planned series of notes on spurious significance, to give a sense of the statistical background. Granger and […]
I’ve had a number of requests to explain some statistical topics and tests of significance. I’d rather not get involved in an explanation of general statistical concepts, which are perfectly well covered in many other places. However, I am going to post some notes up on “spurious significance”, which, after all, was part of the […]
The reason for looking at the form of stochastic process that bests suits the gridcell (and hemispheric) temperatures is that the statistical behavior of a random walk (one type of stochastic process) is very different than independent draw from a normal process.
A couple of days ago, I pointed out that the satellite GLB series could be modeled very well as a ARMA (1,1) model with parameters of AR1 = 0.9215 and MA1= -0.3185. I’ve gotten increasingly interested in ARMA (1,1) models with very high (>0.9 AR1 coefficients.) Vogelsang [1998] has some tables showing some very unexpected […]
Here are some thoughts from 70 years ago from the eminent statistician, R.A. Fisher, from the “Design of Experiments”. There’s a nice dig about “heavyweight authorities”.
I find it difficult to believe that so many scientists have seemingly accepted the realclimate argument that Preisendorfer’s Rule N applied to a principal components calculation is somehow a substitute for proper statistical analysis. To show the goofiness of this argument, I asked a friend to compile a list of weekly closing prices for 20 […]
I notice that the phrase "spaghetti diagram" is catching on a little. In connection with MM05, we archived 100 simulated PC1s, using the weird method of MB98. Just for fun, here’s a spaghetti diagram from 6 of these, chosen from the 100 at random, with 25-year smooths. You’ll see why I’m pretty unimpressed with spaghetti […]
Climate Audit 