On studying relations between time series in climatology

Abstract. Relationships between time series are often studied on the basis of cross-correlation coefficients and regression equations. This approach is generally incorrect for time series, irrespective of the cross-correlation coefficient value, because relations between time series are frequency-dependent. Multivariate time series should be analyzed in both time and frequency domains, including fitting a parametric (preferably, autoregressive) stochastic difference equation to the time series and then calculating functions of frequency such as spectra and coherent spectra, coherences, and frequency response functions. The example with a bivariate time series "Atlantic Multidecadal Oscillation (AMO) – sea surface temperature in Niño area 3.4 (SST3.4)" proves that even when the cross correlation is low, the time series' components can be closely related to each other. A full time and frequency domain description of this bivariate time series is given. The AMO–SST3.4 time series is shown to form a closed-feedback loop system with a 2-year memory. The coherence between AMO and SST3.4 is statistically significant at intermediate frequencies where the coherent spectra amount up to 55 % of the total spectral densities. The gain factors are also described. Some recommendations are offered regarding time series analysis in climatology.