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Lecture

Autocorrelation and Periodicity

In course

ENV-400: Air pollution and climate change

A survey course describing the origins of air pollution and climate change ...

Description

This lecture covers the analysis of relationships among observations in time series data, focusing on autocovariance, autocorrelation, and periodicity. It explores the correlogram, power spectrum, and cross-correlations, illustrating how to interpret patterns in sequential observations. The instructor demonstrates R code for calculating autocorrelation coefficients and correlograms, emphasizing the importance of understanding the underlying processes in time series data. Additionally, the lecture discusses the concept of spurious correlations and provides examples to caution against misinterpretation. Practical applications include examining relationships between variables like ozone concentration and radiation intensity, showcasing the significance of understanding autocorrelation in environmental data analysis.

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Instructors (2)

Satoshi Takahama

Curriculum Vitae (pdf)

Julia Schmale

Official source

Ontological neighbourhood

Statistics

Data analysis: Regression analysis, Time series

Related concepts (32)

Correlation

In statistics, correlation or dependence is any statistical relationship, whether causal or not, between two random variables or bivariate data. Although in the broadest sense, "correlation" may indicate any type of association, in statistics it usually refers to the degree to which a pair of variables are linearly related. Familiar examples of dependent phenomena include the correlation between the height of parents and their offspring, and the correlation between the price of a good and the quantity the consumers are willing to purchase, as it is depicted in the so-called demand curve.

Time series

In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average. A time series is very frequently plotted via a run chart (which is a temporal line chart).

Correlation does not imply causation

The phrase "correlation does not imply causation" refers to the inability to legitimately deduce a cause-and-effect relationship between two events or variables solely on the basis of an observed association or correlation between them. The idea that "correlation implies causation" is an example of a questionable-cause logical fallacy, in which two events occurring together are taken to have established a cause-and-effect relationship. This fallacy is also known by the Latin phrase cum hoc ergo propter hoc ('with this, therefore because of this').

Spurious relationship

In statistics, a spurious relationship or spurious correlation is a mathematical relationship in which two or more events or variables are associated but not causally related, due to either coincidence or the presence of a certain third, unseen factor (referred to as a "common response variable", "confounding factor", or "lurking variable"). An example of a spurious relationship can be found in the time-series literature, where a spurious regression is a one that provides misleading statistical evidence of a linear relationship between independent non-stationary variables.

Pearson correlation coefficient

In statistics, the Pearson correlation coefficient (PCC) is a correlation coefficient that measures linear correlation between two sets of data. It is the ratio between the covariance of two variables and the product of their standard deviations; thus, it is essentially a normalized measurement of the covariance, such that the result always has a value between −1 and 1. As with covariance itself, the measure can only reflect a linear correlation of variables, and ignores many other types of relationships or correlations.

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