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Do NOT smooth time series before computing forecast skill
http://wmbriggs.com/blog/?p=735 ^ | William Briggs

Posted on 07/06/2009 8:27:39 AM PDT by mattstat

Somebody at Steve McIntyre’s Climate Audit kindly linked to an old article of mine entitled “Do not smooth series, you hockey puck!”, a warning that Don Rickles might give.

Smoothing creates artificially high correlations between any two smoothed series. Take two randomly generated sets of numbers, pretend they are time series, and then calculate the correlation between the two. Should be close to 0 because, obviously, there is no relation between the two sets. After all, we made them up.

But start smoothing those series and then calculate the correlation between the two smoothed series. You will always find that the correlation between the two smoothed series is larger than between the non-smoothed series. Further, the more smoothing, the higher the correlation.

The same warning applies to series that will be used for forecast verification, like in the picture below (which happens to be the RSS satellite temperature data for the Antarctic, but the following works for any set of data)...

(Excerpt) Read more at wmbriggs.com ...


TOPICS: Science
KEYWORDS: agw; climatechange; globalwarming

1 posted on 07/06/2009 8:27:40 AM PDT by mattstat
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To: mattstat

Isn’t this the kind of general critique that should be done in “peer review” scientific publications? The fact that the public needs to understand the minutia of statistical manipulation just show how far politicized certain parts of the scientific community have become.


2 posted on 07/06/2009 10:17:48 AM PDT by Tallguy ("The sh- t's chess, it ain't checkers!" -- Alonzo (Denzel Washington) in "Training Day")
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To: mattstat; Little Bill; IrishCatholic; Normandy; According2RecentPollsAirIsGood; ...
 


Beam me to Planet Gore !

3 posted on 07/06/2009 10:42:19 AM PDT by steelyourfaith ("The problem with socialism is that you eventually run out of other people's money" - Lady Thatcher)
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To: Tallguy

Yes, Tallguy, it is. But for some reason the criticism doesn’t sink in because the people using the incorrect methods like the results they are getting. Their desires outweigh truth.


4 posted on 07/06/2009 2:21:28 PM PDT by mattstat (http://wmbriggs.com)
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To: Tallguy

Look at the problem rationally, over the last 25 years we have listened to the cries of the warmists get more frequent, louder, broader and more desperate; at the same time we have seen the funding increase for the ‘study’ of this peril exponentially while the public inertia has barely budged.

But now, with a new regime in place and the purse open on the table, the hungry hordes busy themselves setting the table for one final feast before they retire to their dens with the mess on the table and we’ve just got notice we’re on K.P. duty.


5 posted on 07/06/2009 3:37:31 PM PDT by Old Professer (The critic writes with rapier pen, dips it twice, then writes again.)
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