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Nonlinear Processes in Geophysics An interactive open-access journal of the European Geosciences Union

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Nonlin. Processes Geophys., 11, 505-514, 2004
© Author(s) 2004. This work is licensed under the
Creative Commons Attribution-NonCommercial-ShareAlike 2.5 License.
11 Nov 2004
Cross wavelet analysis: significance testing and pitfalls
D. Maraun and J. Kurths Department of Physics, Potsdam University, D-14415 Potsdam, Germany
Abstract. In this paper, we present a detailed evaluation of cross wavelet analysis of bivariate time series. We develop a statistical test for zero wavelet coherency based on Monte Carlo simulations. If at least one of the two processes considered is Gaussian white noise, an approximative formula for the critical value can be utilized. In a second part, typical pitfalls of wavelet cross spectra and wavelet coherency are discussed. The wavelet cross spectrum appears to be not suitable for significance testing the interrelation between two processes. Instead, one should rather apply wavelet coherency. Furthermore we investigate problems due to multiple testing. Based on these results, we show that coherency between ENSO and NAO is an artefact for most of the time from 1900 to 1995. However, during a distinct period from around 1920 to 1940, significant coherency between the two phenomena occurs.

Citation: Maraun, D. and Kurths, J.: Cross wavelet analysis: significance testing and pitfalls, Nonlin. Processes Geophys., 11, 505-514, doi:10.5194/npg-11-505-2004, 2004.
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