INTERNATIONAL JOURNAL OF CLIMATOLOGY

Int. J. Climatol. 27: 1–15 (2007)

Published online 7 July 2006 in Wiley InterScience
(www.interscience.wiley.com) DOI: 10.1002/joc.1375

Pattern hunting in climate: a new method for finding trends

in gridded climate data
A. Hannachi*
Department of Meteorology, University of Reading, Reading RG6 6BB, UK

Abstract:
Trends are very important in climate research and are ubiquitous in the climate system. Trends are usually estimated using
simple linear regression. Given the complexity of the system, trends are expected to have various features such as global
and local characters. It is therefore important to develop methods that permit a systematic decomposition of climate data
into different trend patterns and remaining no-trend patterns. Empirical orthogonal functions and closely related methods,
widely used in atmospheric science, are unable in general to capture trends because they are not devised for that purpose.
The present paper presents a novel method capable of systematically capturing trend patterns from gridded data. The method
is based on an eigenanalysis of the covariance/correlation matrix obtained using correlations between time positions of the
sorted data, and trends are associated with the leading nondegenerate eigenvalues. Application to simple low-dimensional
time series models and reanalyses data are presented and discussed. Copyright  2006 Royal Meteorological Society
KEY WORDS empirical orthogonal functions; inverse-rank correlation; trend empirical orthogonal functions; trend patterns;
North Atlantic Oscillation; Siberian high
Received 21 December 2005; Revised 3 May 2005; Accepted 16 May 2005

1. INTRODUCTION in recent global surface temperature, which has become

In the last several decades, atmospheric scientists have
contributed major efforts in climate data analysis to
extract patterns from simulated and observed large grid-
ded data sets. Various methods have been developed to
find patterns of variability from the high-dimensional
weather/climate system. The main objectives of these
methods are twofold: (1) reduce the dimensionality of
the system by retaining a much smaller set of dom-
inant patterns (e.g. Hannachi and O’Neill, 2001), and
(2) obtain a few leading and most prominent patterns
of variability that are physically relevant (e.g. Wallace
and Thompson, 2002). Among these methods, empirical
orthogonal functions (EOFs) have been the most widely
used in atmospheric science since the late 1940s (e.g.
Obukhov (1947, 1960); Fukuoka (1951); Lorenz (1956);
see also Craddock (1973) for a discussion of eigenanal-
ysis in meteorology).
Climate is a highly complex system involving many
interacting physical and dynamical processes leading to
a wide spectrum of variations including trends. A trend is
generally taken to mean a (non-random) smooth function
with a systematic, generally monotonic, variation in time
series. The phenomenon of trend is ubiquitous in climate
data. The simplest such phenomenon is a linear trend
observed in many atmospheric time series, such as that
* Correspondence to: A. Hannachi, Department of Meteorology, The
University of Reading, Earley Gate, Reading RG6 6BB, UK.
E-mail: A.Hannachi@reading.ac.uk
known as global warming. Given the complexity of the
system, it is expected that trend characteristics will vary
from one location to another and this may lead to trend
structures that cannot be explained by a single pattern.
This can happen, e.g., when the data contain two spatially
orthogonal patterns, each reflecting a specific trend.
Various trend detection methods exist in the literature.
These methods are mainly devised for univariate time
series. There is, however, no general method for gridded
data, although EOFs and a few related methods have been
used for that purpose.
EOFs are not precisely designed for trend detection.
EOF analysis finds linear combination of the different
variables of a gridded spatio-temporal field that suc-
cessively maximises variance subject to orthogonality
constraints. The obtained linear combinations are the
(uncorrelated) principal components (PCs) and the spatial
(orthogonal) EOF patterns are the loadings of the PCs.
There is a wealth of literature on EOFs: see for example,
Kutzbach (1967); Preisendorfer (1988); Wilks (1995);
von Storch and Zwiers (1999); and Jolliffe (2002). The
geometric constraints of EOFs/PCs are very useful, but
they may render difficult the possibility of physical inter-
pretation (Horel, 1981; Richman, 1981, 1986; Hannachi
et al., 2006).
Given the importance of trends and because EOFs
and closely related methods are unable, in general, to
capture trends, it is of great benefit to develop methods
that are capable of capturing trends from spatio-temporal

Copyright  2006 Royal Meteorological Society

2 A. HANNACHI
gridded climate data by decomposing the data into a trend
part and a remaining no-trend part. The present paper
attempts precisely to achieve this. The paper is organised
as follows. Section 2 presents a brief background on trend
detection methods in univariate and gridded data, and sets
the motivation of the paper. The method of trend EOFs
(TEOFs) is then presented in Section 3. Application
to simple low-dimensional time series is presented in
Section 4, and application to sea level pressure (SLP) and
geopotential height reanalyses from the National Center
for Environmental Prediction and the National Center
of Atmospheric Research (NCEP/NCAR) is presented in
Section 5. Summary and conclusions are presented in the
last section.
2. BACKGROUND AND MOTIVATION
Trend detection in weather and climate is an important
issue in many respects not least for understanding climate
processes and testing for anthropogenic climate change
signature. Various methods have been developed to
deal with trend detection and estimation. Most of these
methods deal with univariate time series, the multivariate
case being more difficult. Trend hypotheses can be in
general of two types, namely, step trend, formulated for
example as a change point problem (Lazante, 1996), or
monotonic trend. Trend detection and estimation also rely
on the method used: parametric or nonparametric.
In climate research, a simple strategy is to study lin-
ear trends using a parametric regression model based
on the correlation coefficient between data and time
(Karl et al., 1993; von Storch and Zwiers, 1999). In
this case, the significance of the trend is tested using
a T-statistic. The best known nonparametric approaches
are based on the Mann–Kendall test (Mann, 1945;
Kendall, 1975; Lettenmaier, 1988) and Spearman’s rho
test (Yue et al., 2002). Nonparametric tests for step
trends based on a change point algorithm use the
Mann–Whitney–Wilcoxon rank sum test (Bradley, 1968)
and the associated Hodges–Lehman estimator of trend
magnitude (Hodges and Lehmann, 1963, see also Hirsch
and Gilroy, 1985). More recent nonparametric methods
for trend analysis include wavelets (Antoniadis et al.,
1994; Gilbert, 1999; Craigmile et al., 2004) and other
smoothing methods, such as locally weighted scatterplot
smoothing LOWESS (Champely and Doledec, 1997).
These methods have been developed to deal with the
univariate case. Their extension to gridded data has var-
ious difficulties not least the fact that climate variables
are highly correlated. In addition, the previous methods
cannot tell us whether the data contain one or more trend
patterns, i.e. they do not provide explicitly trend patterns.
Hence detecting and estimating trends from gridded cli-
mate data can be challenging.
To deal with spatial correlation, several authors used
EOFs/PCs to find trends. EOFs are also used for other
purposes, such as smoothing, weather forecasting, and
dimensionality reduction. Another approach for trend
Copyright  2006 Royal Meteorological Society
detection is to look for linear combinations that max-
imise autocorrelation (Box and Tiao, 1977; Solow, 1994).
Solow (1994) finds the smallest eigenvalue, and associ-
ated eigenvector, of the matrix S−1 S∇ , where S and S∇
are respectively the covariance matrices of the data and
their first difference.
Now, the original context of EOFs (e.g. Fukuoka,
1951) was to achieve a decomposition of a continuous
space-time field using an optimal set of basis functions
of space and expansion functions of time. EOFs, how-
ever, are unable in general to find trends (see Section 4.)
The EOF method finds a new set of variables that cap-
ture most of the observed variance from the data through
linear combinations of the original variables. EOFs are in
general easy to compute using singular value decompo-
sition (SVD) (Golub and van Loan, 1996). Other useful
features of EOFs include spatial and temporal orthogo-
nality of the EOF patterns and their PCs respectively,
and various optimality criteria (Jolliffe, 2002; Magnus
and Neudecker, 1995). However, besides not being able
to capture trends, EOFs have also a number of other dif-
ficulties, which are listed below for the sake of a better
understanding of the method presented in the next sec-
tion.
• Physical interpretability: This constitutes the major
difficulty encountered with EOFs resulting from their
geometric properties (Horel, 1981; Richman, 1986;
Dommenget and Latif, 2002; Jolliffe, 2003, see also
Hannachi et al., 2006).
• Truncation order: This difficulty, due to the ‘smooth’
nature of the spectrum, emerges particularly when
EOFs are used for dimension reduction. The distribu-
tion of ‘power’ as a function of (spatial) scale makes
truncation ambiguous. Ideally, one would like to have
a discontinuous (or broken) spectrum with a number
of eigenvalues clearly distinct from and above a noise
floor.
• Linearity and second/higher order statistics: Covari-
ances or correlations used in EOFs represent linear
measures of association, and hence there is a tendency
to overlook nonlinearity, a main characteristic feature
of climate. In the same vein, because EOFs are based
on second-order statistics, higher-order moments are
systematically excluded from the analysis. For exam-
ple, the main centres of maximum variance of a given
field will heavily reflect on the leading EOFs of that
field.
• Ellipticity assumption: The restriction to second-order
moments readily translates into an implicit normal-
ity assumption, where the EOFs can be interpreted
as the directions of the principal axes of the distribu-
tion (Chatfield and Collins, 1989; Jolliffe, 2002). This
interpretation extends to a large class of probability dis-
tributions, namely, elliptically contoured distributions
(Fang and Zhang, 1990).
• Correlation versus covariance: This difficulty is related
to the dilemma of choice between covariance or corre-
lation when doing EOFs (Wilks, 1995; Jolliffe, 2002).
Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
 A NEW METHOD FOR FINDING TRENDS IN GRIDDED CLIMATE DATA
• Noncorrelation versus independence: This issue arises
often in practice in many cases where noncorrelation is
taken for independence. This is in fact true only when
the random variables involved are jointly Gaussian.
In fact for two random variables X and Y to be
independent, the correlation ρg(X),h(Y ) between g(X)
and h(Y ) should satisfy, for almost all functions, g()
and h(), the equality:
corr(g(X), h(Y )) = ρg(X),h(Y ) = 0 (1)
(For precisely measurables functions, see e.g. Papoulis
and Pillai (2002).)
Independence is indeed much stronger and requires
factorisation of the joint probability density function
(pdf) f (x, y) of X and Y (see, e.g. DeGroot and
Schervish, 2002) as:
f (x, y) = fX (x)fY (y) (2)
where fX () and fY () are respectively the marginal pdfs
X and Y , yielding therefore Equation (1).
• Monotonic transformation: The measure of association
based on covariance or correlation is characterised by a
noninvariance to nonlinear monotonic transformation.
It is important to have a measure of association that is
invariant under monotonic transformation. One would
expect monotonic transformations not to alter robust
associations between variables.
Some of the previous difficulties can be addressed
using particular nonlinear transformations so that all
higher-order moments can be taken into account, e.g. in
Equation (1). The simplest such transformation should:
(1) help remove the effect of the marginal distributions
as in independent component analysis (Hyvärinen, 1999;
Hyvärinen et al., 2001) and nonlinear regime studies
(Hsu and Zwiers, 2001; Stephenson et al., 2004); and
(2) behave like a transfer function (e.g. Hannachi et al.,
2003, 2004), i.e. they are precisely cumulative distribu-
tion functions (cdfs). (Functions such as those used in
neural networks known as sigmoids or squashing func-
tions, are well known to enjoy these nice properties (see
e.g. Bishop, 1995). A well known principle used in neural
networks and applied often in blind separation and blind
deconvolution (Bell and Sejnowski, 1995) is based on the
fact that the inputs should be weighted so that the dif-
ferent response levels are used with the same frequency
(Laughlin, 1981). This principle is rooted in information
theory (Shannon and Weaver, 1962) and guarantees, via
entropy maximisation, an optimum information transfer.
Following this principle, transmitted information is max-
imised when the sloping part of the sigmoid is optimally
lined up with the most probable parts of the input distri-
bution.) A natural choice for these functions corresponds
to the cdfs FX () and FY () of X and Y respectively. (This
choice satisfies in fact Laughlin (1981) principle of opti-
mality.)
Copyright  2006 Royal Meteorological Society
3
The obtained correlation is then given by:
ρr (X, Y ) = cor(FX (X), FY (Y )) = ρ(FX (X), FY (Y )) (3)
A sample estimate of Equation (3) is precisely the (Spear-
man’s) rank correlation (Appendix A). Rank correlation,
which measures closeness to curved line, is known to
be resistant (Lazante, 1996) and robust (DeGroot and
Schervish, 2002). It does not, however, capture trends
since it is an approximation to ordinary correlation, which
measures closeness to a straight line.
The second multivariate approach based on a gener-
alised eigenvalue problem (Solow, 1994) has also its own
limitations. Maximising autocorrelation (see, e.g. Del-
Sole, 2001) does not in general reflect trend features, and
yields results that are in general comparable to those from
EOFs/PCs. Box and Tiao (1977) argue that differencing is
not in general recommended because it can lead to vari-
ous complications. A serious problem also emerges when
S or S∇ is singular or near-singular. Note that this is in
general the case when dealing with observed large-scale
climate data. Furthermore, as for EOFs, the spectrum of
S−1 S∇ is in general smooth, and the smallest eigenval-
ues will be degenerate making separation of eigenvalues
difficult.
Trend patterns are the most natural patterns that are
relevant and, unlike EOFs, can be in general physi-
cally interpreted. Local or global trend with complex
spatial patterns cannot be obtained using the previous
approaches. The motivation of this paper is to propose a
method that is easy to use to identify trends. The expecta-
tion is that, unlike EOFs, a multivariate trend–PC method
will yield only a small number of nondegenerate eigen-
values above a floor of eigenvalues not associated with
trends. The patterns associated with the nondegenerate
part of the spectrum may be more easily interpreted than
those associated with the degenerate part, and hence the
potential of interpretability of trend patterns. The method,
which is of exploratory nature, provides explicitly the
possible number of trend patterns present in the gridded
data. Investigation of sampling properties of the method
is left for future work.
3. TREND EOFS AND TREND PCS
3.1. Method description
Let x1 , x2 , . . . , xp , where xk = (x1k , . . . , xnk ), k =
1, . . . , p, denote the p variables forming our spatio-
temporal field. These variables form the columns of a
n × p data matrix X = (xij ). The data matrix X is sup-
posed to represent anomalies or departure from the cli-
matology. To resolve the issue of trend, the concept of
monotonicity has to be included. The solution is obtained
by looking for a new transformation that gives a measure
of monotonicity. To achieve this, the original data are
first sorted (e.g. in decreasing order.) Then the position in
time of each datum from the sorted series is taken. These
(time) positions (from the sorted data) constitute our new
Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
 4 A. HANNACHI

data. So the newly transformed data q1 , q2 , . . . , qp are (a) Ranks

composed of p time series, each of which is some per- p1
mutation of {1, 2, . . . , n}, i.e.
p3 p4
qk = (q1k , q2k , . . . , qnk ) = (Qk (1), Qk (2), . . . , Qk (n)) (4) p2 pn

t
1 2 3 4 n
for some permutation Qk () of {1, 2, . . . , n}.
As an illustration, let us consider a simple time series
(b) Time-sorting
with only five elements: x = (1.5, 0, −1, 1.2, 3). The new
transformed time series is obtained by sorting first x to
yield (−1, 0, 1.2, 1.5, 3). Then q consists of the (time)
position of these sorted elements as given in the original
time series x to yield q = (3, 2, 4, 1, 5), which is a
permutation Q1 () of {1, 2, 3, 4, 5}. q1 q2 q3 q4 qn
Now by looking for maximum correlation between
time positions of the sorted data one is attempting to find Figure 1. Illustration of a time series using ranks (a) and positions of
times when the different time series are increasing (or sorted data (b). The horizontal axis in (a) refers to the time axis with
p1 , . . . , pn representing the ranks of data, and q1 , . . . , qn represent the
decreasing) together. The leading modes based on this positions of the ordered data.
new correlation (or covariance) provide the answer to
trends as is explained next. Figure 1(a) illustrates a time
series x1 , . . . , xn , (n = 7), where the ranks p1 , . . . , pn of for k, l = 1, 2, . . . , p. TEOFs and trend PCs (TPCs) are
the data are shown. The sequence p1 , . . . , pn reflects the then provided respectively by the ‘EOFs’ and the ‘PCs’
variability in the time series since it is highly correlated using the newly obtained covariance (or correlation)
with the original series. Now, the correlation of the posi- matrix
tions q1 , q2 , . . . , qn with the sequence 1, 2, . . . , n reflects 1 T T
the total monotonicity of the sequence, and hence pro-
T = (ρT (xk , xl )) = Q H HQ, (7)
n
vides a robust measure of the strength of the trend. Mono-
tonicity is indeed imprinted in the sequence q1 , . . . , qn

where H = In − n 1 1 1T is the centring operator, I is
since xq1 ≤ xq2 · · · , ≤ xqn (Figure 1(b)). For illustration n n n

(see Appendix B for details), consider two time series
xt = at + εt and yt = bt + ηt , t = 1, 2, . . . , n, composed
each of a linear trend and a white noise. Let also qx =
y y y SVD of the new data matrix HQ to obtain the new trend
(q1x , q2x , . . . , qnx )T and qy = (q1 , q2 , . . . , qn )T denote the
positions of the associated time series. If a = 0 or
b = 0, then one of the sequences q1x , q2x , . . . , qnx or
y y y Appendix B). If only one single variable is trendy, the
q1 , q2 , . . . , qn , respectively, will be ‘random’ (i.e. pat-
ternless), and consequently the sequences qx and qy will
be uncorrelated. Now, as a and b increase, the two
sequences become more and more non-random and cor-
related. Hence, in the presence of a (detectable) trend
the sequences will always not only have a pattern but
this pattern will also follow the trend. This will be the
case even for a relatively weak trend because the cor-
relation based on time-sorting, like rank correlation, is
robust and resistant. The variance of a linear combina-
tion of two position sequences gives a measure of the
total (and common) monotonicity. Maximising this mea-
sure provides therefore the largest monotonicity, hence
the largest trend (see Appendix B).
In summary our new data matrix of positions of sorted
data is now given by:
Q = (qT1 , qT2 , . . . , qpT ) = (qij ) (5)
the n × n identity matrix, and 1n = (1, 1, . . . , 1)T is a
column vector of length n containing only ones.
In the application presented in the next sections, we use
EOFs and TPCs. To capture trends the method requires
(see above) that at least two variables be trendy (see also
method will not capture the trend. This, however, does
not happen in reality because of the cross-correlation
structure observed in weather/climate. The trends are then
associated with the leading nondegenerate eigenvalues
of Equation (7). The first trend PC will maximise the
total monotonicity, the second one will also maximise
the same monotonicity and be uncorrelated with the first
trend PC, etc. Hence the method also captures local
trends, when they exist.
3.2. A few remarks
The permutations Qk (), k = 1, . . . , p that define the
newly obtained data matrix Q are in fact related to the
ranks of the data. As before, let us designate by pk =
(p1k , . . . , pnk ) the ranks of the corresponding k’th time
series xk = (x1k , . . . , xnk ), k = 1, . . . , p. These ranks are
also given by:

and we require the following correlations (or covari- pk = (p1k , p2k , . . . , pnk ) = (Pk (1), Pk (2), . . . , Pk (n)) (8)
ances):
where Pk () is a permutation of {1, 2, . . . , n}. In Appendix
ρT (xk , xl ) = cov (qk , ql ) (6) A it is shown that Qk () is precisely the reciprocal of the

Copyright  2006 Royal Meteorological Society Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
 A NEW METHOD FOR FINDING TRENDS IN GRIDDED CLIMATE DATA 5

rank permutation Pk (), i.e. an autocorrelated noise, given by

Qk = Pk−1 = Pk(n−2)
(9)
where Pk(m) = Pk oPk o . . . , oPk is the m’th iteration of
the permutation Pk (). As an illustration, consider again
the previous five-element time series. The vector of ranks
of this time series is p = (4, 2, 1, 3, 5), and is a permu-
tation P1 () of {1, 2, 3, 4, 5}. It can be easily verified that
P1 () is the inverse of Q1 (). The useful properties of
rank correlation are also inherited by the new inverse-
ranks method, e.g. resistance, robustness, invariance to
monotonic transformation, in addition to the fact that the
covariance and correlation matrices are equivalent. The
spectrum of the inverse-ranks correlation matrix is, how-
ever, different from that of the rank correlation because
only very few patterns will reflect the trend (see e.g.
Appendix B and the application sections).
4. APPLICATION TO SIMPLE LOW-DIMENSIONAL
SYSTEMS
In this section, we illustrate the above formulation with
two sets of simple examples, and compare the results
with conventional EOFs using covariance and correlation
matrices. The application to reanalyses is presented in the
next section.
4.1. Example 1: Covariance-based EOFs
In this example we consider a set of three-variable
time series containing a linear trend contaminated with

xt = αt + 1.6εt1
yt = αt + 2.4εt2 (10)
zt = αt + 1.5εt3
where α = 0.004, εt1 , εt2 , and εt3 are three first-order
autoregressive, AR(1), models with respective lag-1
autocorrelations 0.5, 0.6, and 0.3. Figure 2(a), (b), (c)
shows an example of this three-variable time series
model. Covariance-based EOFs/PCs of these time series
(Figure 2(a), (b), (c)) have been computed. Figure 2(d),
(e), (f) shows the three obtained PCs in decreasing order
of their explained variances. It can be seen that the trend
is observed in all three PCs, and slightly stronger in PC2
(Figure 2(e)). This is because the PCs maximise variance
plus the fact that the trend is small, and hence the failure
of covariance-based EOFs to capture trends.
Next the EOFs and PCs of the newly obtained correla-
tion/covariance matrix (Equations (6)–(7)) are computed
using the SVD of the centred data matrix of inverted
ranks (Equation (5)). Figure 2(g), (h), (i) shows the ‘PCs’
associated with the newly obtained data matrix (Equa-
tion (5)), i.e. time positions in the sorted data. It can
be seen now that the leading PC (Figure 2(g)) captures
entirely the trend. Furthermore, no trend is left in the
remaining PCs (Figure 2(h), (i)). Note that the eigenvec-
tor loadings in this case are three-component vectors and,
unlike TPCs, they are not very informative to show. Their
usefulness will be made clear with the reanalyses data in
Section 5.

(a) Time series xt (b) Time series yt (c) Time series zt

5 5 5
x1

x2

x3

0 0 0

-5 -5 -5

0 200 400 0 200 400 0 200 400

(d) Ordinary PC1 (e) Ordinary PC2 (f) Ordinary PC3

4 4 4
2 2 2
PC1

PC2

PC3

0 0 0
-2 -2 -2
-4 -4 -4
0 200 400 0 200 400 0 200 400

(g) Trend PC1 (h) Trend PC2 (i) Trend PC3

4 4 4
2 2 2
TPC1

TPC2

TPC3

0 0 0
-2 -2 -2
-4 -4 -4
0 200 400 0 200 400 0 200 400

Figure 2. Example of time series of xt , yt , and zt obtained using Equation (10), (1st row), the PCs of these time series using covariance-based
EOFs (2nd row), and the trend PCs obtained using the new correlation/covariance-based EOFs (3d row).

Copyright  2006 Royal Meteorological Society Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
6 A. HANNACHI

The significance of these results are examined using
a Monte Carlo test as follows. A set of 100 time
series given by Equation (10) is generated. For each
time series covariance-based EOFs and newly obtained
EOFs, using Equation (6), are computed. Correlations
between the corresponding PCs and the actual trend
(see Equation (10)) are then calculated. Figure 3 shows
the histograms of the correlation coefficients for the
conventional PCs (Figure 3(a), (b), (c)) and the new PCs
(Figure 3(d), (e), (f)). Note how the trend is absorbed
by all conventional PCs (Figure 3(a), (b), (c)) across all
simulations, whereas it is only captured by the first newly
obtained PC (Figure 3(d)), which we call trend PC. The
approach of Solow (1994) has also been applied, and
the result (not shown) is similar to that obtained using
EOFs.
4.2. Example 2: Correlation-based EOFs
Here, we consider a 4-variable time series containing
a sine/cosine wave and a quadratic trend, given by:
 the correlations between the quadratic trend and the
 w = 1.8at + 2βb(t) + 1.6εt1
 t
xt = 1.8at + 1.8βb(t) + 2.4εt2
(11)
 yt = 0.5at + 1.7βb(t) + 1.5ε4t
 3
zt = 0.5at + 1.5βb(t) + 1.7εt
where at is a quadratic trend proportional to t 2 , at ∝ t 2 ,
β = 2, and b(t) = cos 4t 5 + sin 5 . The noises εt , k =
t k
1, . . . , 4, are again AR(1) with respective lag-1 autocorre-
lations 0.5, 0.6, 0.3, and 0.35. To conform with Figure 2,
and for clarity purposes we only show three panels out
of four, but the conclusion is unaltered. Figure 4(a), (b),
(c) shows an example for the first three time series wt ,
xt , and yt . The trend as well as the periodic signal can
be noted from these time series.
As in Example 1, the second row of Figure 4 shows
PC1, PC2, and PC4 obtained from the correlation-
based EOF analysis of the time series generated using
Equation (11). Again the trend is seen to be cap-
tured by most PCs (Figure 4(d), (e), (f)). In addition,
the periodic signal is captured by PC1 (Figure 4(d)).
Note that PC4 is shown instead of PC3 because it
has a larger trend, and the purpose is to show that
the trend gets spread over most PCs, including the
last one (PC4), i.e. with the least variance! Simi-
larly, the third row of Figure 4 shows the leading
three PCs obtained using the new data matrix (Equa-
tion (6)). The trend is clearly captured by the first
(trend) PC (Figure 4(g)). The fourth trend PC (TPC4,
not shown) looks also like TPC2 and TPC3, i.e. without
trend.
As in Example 1 above, the statistical properties of
various PC time series are investigated using a Monte
Carlo approach. The first row of Figure 5 shows the his-
tograms of these correlations for the (correlation-based)
PCs like those shown in Figure 4(d), (e), (f). Again
the trend has been absorbed by all PCs (Figure 5(a),
(b), (c)). Furthermore, the trend is stronger with PC2
(Figure 5(b)) than with the remaining PCs. The spiky
feature of the histogram for PC1 (Figure 5(a)) is simply
due to the existence of the periodic component, which
projects strongly onto the leading correlation-based PC.

(a) Histogram (b) Histogram (c) Histogram

15 15 15
Frequency

Frequency

10 10 10
Frequency

5 5 5

0 0 0
0 0.5 1 0 0.5 1 0 0.5 1
Correlation Correlation Correlation

(d) Histogram (e) Histogram (f) Histogram

15 15 15
Frequency

Frequency

10 10 10
Frequency

5 5 5

0 0 0
0 0.5 1 0 0.5 1 0 0.5 1
Correlation Correlation Correlation

Figure 3. Histograms of the correlation coefficients between the linear trend (Equation (10)) and the PCs obtained from covariance-based EOFs
(1st row), and between the same linear trend and the trend PCs (2nd row).

Copyright  2006 Royal Meteorological Society Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
 A NEW METHOD FOR FINDING TRENDS IN GRIDDED CLIMATE DATA 7

(a) Time series wt (b) Time series xt (c) Time series yt

4 4 4
2 2 2

x1

x2

x3
0 0 0
-2 -2 -2
-4 -4 -4
0 200 400 0 200 400 0 200 400

(d) PC1 (e) PC2 (f) PC4

4 4 4
2 2 2
PC1

PC2

PC4
0 0 0
-2 -2 -2
-4 -4 -4
0 200 400 0 200 400 0 200 400

(g) Trend PC1 (h) Trend PC2 (i) Trend PC3

4 4 4
2 2 2
TPC1

TPC2

TPC3
0 0 0
-2 -2 -2
-4 -4 -4
0 200 400 0 200 400 0 200 400

Figure 4. As in Figure 2, but using the four-variable model Equation (11), and showing wt , xt , and yt (a), (b), (c), and correlation-based PCs
1, 2, and 4 (d), (e, (f), and the three leading trend PCs (g,h,i).

(a) Histogram (b) Histogram (c) Histogram

25 25 25

20 20 20
Frequency
Frequency

Frequency

15 15 15

10 10 10

5 5 5

0 0 0
0 0.5 1 0 0.5 1 0 0.5 1
Correlation Correlation Correlation

(d) Histogram (e) Histogram (f) Histogram

25 25 25

20 20 20
Frequency

Frequency

Frequency

15 15 15

10 10 10

5 5 5

0 0 0
0 0.5 1 0 0.5 1 0 0.5 1
Correlation Correlation Correlation

Figure 5. Histograms of the correlation coefficients between the quadratic trend (Equation (11)) and the correlation-based PCs 1, 2, and 4 (a),
(b), (c), and between the same trend and the trend PCs 1, 2, and 3 (d), (e), (f).

Unlike the previous histograms, the histograms of the approach is unable to capture the trend. The two
correlations using the newly obtained PCs (Figure 5(d), time series associated with the smallest eigenvalues
(e), (f)) clearly indicate that the leading PC (Figure 5(d)) of S−1 S∇ (not shown) are similar to PC1 and PC2
entirely captures the trend. Note that the Solow (1994) (Figure 4(d), (e)).

Copyright  2006 Royal Meteorological Society Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
8 A. HANNACHI

5. APPLICATION TO REANALYSES DATA Eigenvalue spectrum (SLP)

101
5.1. Data description
Two NCEP/NCAR data sets are used here. The first

Eigenvalue (%)
set consists of winter monthly mean SLP over the
Northern Hemisphere north of 20° N and spans the period
1948–2000. The winter season is defined by the months
Dec-Jan-Feb (DJF). The second set consists of winter
monthly geopotential heights also over the same latitudes 100
and for the same period as SLP. Anomalies are computed
as departures from the mean annual cycle and are 0 10 20 30
considered in this analysis. Rank

5.2. Application to winter SLP Figure 6. The leading 30 eigenvalues, expressed in %, of the new
covariance/correlation matrix Equation (7) of winter monthly SLP. The
The leading (conventional) EOF (not shown) yields vertical bars show hand-waving uncertainty estimates based on the
the familiar Annular Oscillation (e.g. Thompson and North et al. (1982) rule of thumb.
Wallace, 1998, 2000; Wallace, 2000; Rogers and van
Loon, 1982), a tripolar structure with its centres localised (a) Trend EOF1 (SLP)
respectively over the North Atlantic, the polar region, 6
and the North Pacific. The second EOF yields the Pacific 5
pattern (not shown), a monopolar structure sitting over 4
the North Pacific. The correlation-based EOFs have also
3
been computed. The spectrum of the correlation matrix
indicates a smooth decay with degenerate eigenvalues 2
clustered into groups. EOF1 (not shown) has a polar 1
high and a low over the subtropics with particular high 0
values over North Africa and the Mediterranean. EOF2
-1
(not shown) has a high over the Asian subtropics and two
low centres over the North Pacific and West Atlantic near -2
Florida. Rank correlation-based EOFs (not shown) are -3
virtually identical to (ordinary) correlation-based EOFs. -4
In both the cases, no trend was obtained with a particular
(b) Trend EOF2 (SLP)
PC. Moreover, when the data were detrended prior to 5
the analysis by removing a linear trend, the obtained 4
EOFs were very similar to those obtained from the 3
nondetrended data. This leaves the impression that the 2
data do not contain any trend. In fact what happened is 1
that the trend has been dissipated into most PCs, rather 0
like the above examples. -1
The SLP data matrix has been transformed using Equa- -2
tion (4) to yield the new data matrix Q (Equation (5)) -3
of inverted ranks. To take into account the converging -4
-5
longitudes poleward, this data matrix is weighted using
-6
the square root of the cosine of the latitude at each
-7
corresponding grid point. This weighting is important
-8
to remove the singularity at the pole. The trend EOFs
and TPCs of the centred and area-weighted data matrix Figure 7. Trend EOFs of the new SLP covariance/correlation matrix
of inverted ranks are then computed using SVD. The Equation (7) associated with the leading two eigenvalues (Figure 6).
results are strikingly different from conventional EOFs.
Figure 6 shows the corresponding spectrum associated Figure 7 shows the trend EOFs of the newly obtained
with the leading 30 Trend EOFs (TEOFs). The error bars data matrix (Equation (5)) associated with the leading
shown in Figure 6 are based on the North et al. (1982) two eigenvalues. Interestingly, the third TEOF corre-
rule of thumb. Clearly the spectrum has now an outstand- sponding to the third eigenvalue, already in the no-trend
ing feature. It is not continuous (or smooth) and has two floor (Figure 6), is shown in Figure 8, and clearly reveals
well-separated eigenvalues and a no-trend floor, which no structure, i.e. it looks like noise, but does not in
looks like a noise floor: after all this is what we are look- reality correspond to a noise as explained below. This
ing for. In conventional EOFs or in the Solow (1994) result is once more consistent with the obtained spec-
method, for example, the spectrum is generally ‘smooth’ trum (Figure 6). Again, this is not in general the case
or slowly decaying rather like a red-noise spectrum. with conventional methods (e.g. EOFs) where the patterns

Copyright  2006 Royal Meteorological Society Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
 A NEW METHOD FOR FINDING TRENDS IN GRIDDED CLIMATE DATA 9

associated with the lower part of the spectrum do not Trend EOF3 (SLP)
in general show pure noise. Those (low ranked) EOFs 7
usually have some structure. The obtained leading two 6
5
TEOFs (Figure 7(a), (b)) show large-scale structures. For
4
example Figure 7(a) shows a positive center over North
3
Africa, the Mediterranean, most of the Indian subconti- 2
nent, and parts of North Atlantic, and a negative centre 1
over most of Eurasia, north east of the north Pacific, and 0
Greenland/north east Canada. For the second TEOF, one -1
can also see some structure over the East Asian continent -2
and the Mediterranean. -3
Before interpreting these patterns, we first show the -4
time series associated with these leading TEOFs. Figure 9 -5
-6
shows the two leading TPCs obtained as the left singular
-7
vectors of the new area-weighted data matrix HQ (Equa-
tion (5)) corresponding to the leading two eigenvalues. Figure 8. As in Figure 7, but for the third eigenvalue.
Figure 9(a) shows a clear increasing trend as expected.
The second ‘TPC’ (Figure 9(b)) also shows an initial trend EOFs (Figure 7). The obtained time series are
decrease and then an increasing trend starting from the then regressed back onto the SLP anomalies to yield
middle of the record. Note in particular the steep increas- the required patterns that we label from now on trend
ing trend towards the end of the record, indicating that patterns or trend modes. Hence if v is a trend EOF, i.e.
the method captures local trends. It is worth noting here a right eigenvector of HQ, see Equation (5), then one
that the part that does not project onto the (two) leading first constructs the time series w = HXv, which is then
trend EOFs, referred to as no-trend, which is similar to scaled and regressed back onto the original field to yield
noise, is not pure noise but simply does not have trend, the trend mode. So the trend mode is composed of the
and it is possible to do regular PCs on this part. regression coefficients between the time series w and the
The leading two TEOFs (Figure 7(a), (b)) are not to time series anomalies at each grid point. Alternatively,
be physically interpreted straightaway because they are the trend PC z, i.e. the left singular vector of HQ, can be
not in the same state space of the data because of the regressed back onto the original filed to yield the trend
nonlinear transformation (Equation (4)). To obtain the pattern. So the trend pattern is composed of the regression
corresponding patterns in the original (physical) state coefficients between the trend PC and the anomaly time
space, we first project the SLP anomaly field onto the series of the original field at each grid point.

(a) Trend PC1 (DJF SLP)

0.15
0.1
0.05
TPC1

0
-0.05
-0.1
-0.15
Jan50 Jan60 Jan70 Jan80 Jan90 Jan00
Time

(b) Trend PC2 (DJF SLP)

0.3

0.2
TPC2

0.1

-0.1
Jan50 Jan60 Jan70 Jan80 Jan90 Jan00
Time

Figure 9. The two leading SLP trend PCs, obtained as the first two left singular vectors of the new data matrix anomaly HQ, see Equation (5).

Copyright  2006 Royal Meteorological Society Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
10 A. HANNACHI
Figure 10 shows the leading two trend modes associ-
ated with the leading two TEOFs (Figure 7). The first
trend mode (Figure 10(a)) is familiar and clearly shows
the NAO pattern. The NAO is a well known large-scale
prominent mode of natural climate variability over the
North Atlantic, Europe, and the Mediterranean. It bears
a meridional see-saw feature in the atmospheric mass
between subtropical high and polar low. It is fair to
say, however, that there is no universal way to define
its spatial structure or its time index. Approaches for its
definition include point correlation, EOFs, and rotated
EOFs. A well-known NAO time index is obtained as the
difference of normalised SLP anomalies between Lisbon
(Portugal) and Stykkisholmur/Reykjavik (Iceland) (see,
e.g. Hurrell et al. (2003) for details).
The second trend mode (Figure 10(b)), not as famil-
iar as the NAO, shows a major low over the Asian
continent centred over Siberia and a smaller positive
centre over West Alaska. This pattern represents the
Siberian High (SiH). Figure 11 shows the time series
corresponding to the trend modes of Figure 10 obtained
by projecting the SLP anomalies onto the trend modes
(Figure 10). Figure 9 can be regarded as a smoothed
version of Figure 11. Note, in particular, the increasing
(a) Trend mode 1 (SLP)
4 spectrum of the obtained covariance matrix at 500 mb
3 (Figure 12(a)), 925 mb (Figure 12(b)), and 1000 mb
2
1
0 associated with this leading eigenvalue. This trend mode
-1
-2
-3
-4
-5
-6
(b) Trend mode 2 (SLP)
3 represents no trend. Therefore there is only one single
2
1
0 pattern (Figure 13(a)). The eigenspectrum correspond-
-1
-2
-3
-4
Figure 10. The two leading trend modes obtained by projecting the
DJF sea level pressure anomalies onto the TEOFs (Figure 7) and then
regressing back onto the same anomalies. Contour interval 1 mb.
Copyright  2006 Royal Meteorological Society
trend towards the last quarter of the century, a charac-
teristic feature of the SiH. The SiH pattern is usually
identified in winter SLP as an extensive semi-permanent
anticyclone sitting over Asia, and can be seen also in
hemispheric winter-mean SLP. The real mechanisms of
the SiH is still not very well understood, but it is likely
to be associated with the coldest and densest air masses
of the hemisphere (Lydolf, 1977), mostly dominant in the
boreal winter. Being mainly thermally induced, the SiH
has a very shallow cold-core structure, confined mainly
to the planetary boundary layer. The SiH has witnessed
a dramatic decline particularly in the last quarter of the
century (see Panagiotopoulos et al. (2005) for a detailed
description of the pattern and its time evolution). The
pattern (not shown) associated with TEOF3 (Figure 8)
indicates a large-scale pattern (not noise): it simply does
not contain a trend. In other words, the trend patterns are
captured only by the first two nondegenerate TEOFs.
5.3. Application to geopotential heights
To find out differences between vertical levels we have
analysed the geopotential heights at various vertical pres-
sure levels, 500, 925, and 1000 mb. At each level, the
data are processed as in the previous section. The spectra
and the EOFs of the centred and area-weighted inverse-
rank data matrix are calculated. Figure 12 shows the
(Figure 12(c)). At 500 mb, there is clearly only one single
eigenvalue above a no-trend floor. Figure 13(a) shows the
trend mode, i.e. after projection back onto the data space,
is reminiscent of the cold ocean warm land (COWL) pat-
tern (Wallace et al., 1995; Broccoli et al., 1998) with
low centres over the North Pacific and North Atlantic,
and high centres over the Mediterranean/Western Europe,
north west of North America, and central Asia. In total
agreement with the spectrum (Figure 12(a)), the trend
EOF, i.e. the eigenvector of
T in (7), associated with
the second eigenvalue (already in the no-trend floor),
shown in Figure 13(b) is structureless, like noise, and
pattern, COWL, associated with the trend in the mid-
troposphere heights. The time series associated with this
pattern is shown in Figure 13(c), and is obtained by
projecting the data anomaly matrix HX onto the trend
ing to the 925 mb pressure level (Figure 12(b)) shows
again one eigenvalue singled out of the no-trend floor
like Figure 12(a), and is associated with the NAO pat-
tern as the trend-mode (not shown). Note, however, that
the spectrum is slightly different from that at 500 mb, in
that the second eigenvalue is slightly raised off the trend-
noise floor but not entirely. The TEOF associated with
this eigenvalue is no longer structureless (not shown),
and its trend mode shows the SiH pattern (not shown).
The spectrum at 1000 mb (Figure 12(c)) is now differ-
ent from the previous two. While the leading eigenvalue
Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
 A NEW METHOD FOR FINDING TRENDS IN GRIDDED CLIMATE DATA
Time series of trend mode 1 (SLP)
2
Index 1
0
-1
-2
Jan50 Jan60
Time series of trend mode 2 (SLP)
2
1
Index 2
-1
-2
Jan50 Jan60
Figure 11. The time series associated with the two leading SLP trend modes (Figure 10(a), (b)). Note that every consecutive Dec-Jan-Feb months
are plotted next to each other.
is still well above the no-trend floor as in Figure 12,
the second eigenvalue has now completely risen off this
no-trend floor. Figure 14(a) shows the associated trend
mode, i.e. after projection back onto the data space, and
represents again the NAO. The second trend mode is
shown in Figure 14(b), which can be compared to the
second trend-mode associated with SLP (Figure 10(b))
and shows again the Siberian High pattern. This is once
more consistent with the fact that the SiH is highly con-
fined to the low-level atmosphere near the ground, i.e. the
planetary boundary layer. The SiH was not captured pre-
viously using various forms of conventional EOFs mainly
because it is a pattern associated with a local trend, and
partly because it is confined to the boundary layer. This
pattern, associated with a local trend, is also different
from the NAO pattern, which can be explained by global
linear trend.
6. SUMMARY AND CONCLUSIONS
A new method capable of capturing trend patterns
from gridded climate data was presented. EOFs and
a related method based on maximising autocorrelation
are often used to detect trends. These methods are
in general unable to capture trend patterns because
they are not devised for that purpose. Besides, these
approaches have a number of difficulties such as physical
interpretability, smooth spectrum yielding difficulties in
truncation, and limitation to second-order moments. The
method based on maximising autocorrelation also suffers
serious difficulties such as singularity of the covariance
Copyright  2006 Royal Meteorological Society
11
Jan70 Jan80 Jan90 Jan00
Time
Jan70 Jan80 Jan90 Jan00
Time
matrix of large-scale climate data, and the degeneracy of
the generalised eigenvalue spectrum involved.
The new method presented provides a systematic
decomposition of the data into a small number of trend
patterns and a remaining no-trend when at least two vari-
ables are trendy. The method is based on an eigenanalysis
of the covariance/correlation matrix of time positions
from sorted data, i.e. inverse ranks, yielding trend EOFs
and associated TPCs. By sorting the data and looking
for patterns that maximise correlation/covariance between
inverse ranks one is looking for linear combinations max-
imising total monotonicity, hence capturing trends with
their local slow variation feature. The leading nondegen-
erate eigenvalues are associated with trends, whereas no
trend is associated with the remaining spectrum floor.
The method is adapted to the problem of trend analysis
because the only spatially coherent signal coming out of a
rank-type reordering of space-time values is a signal con-
taining fluctuations at the time scale of the length of the
data. The first TPC maximises the total monotonicity, the
second TPC also maximises the total monotonicity sub-
ject to being uncorrelated with the first TPC, etc. Hence
this makes the method capable of capturing also local
trends.
The method has first been applied to two simple low-
order time series models. The first one consists of a
three-variable time series containing a linear trend plus an
autocorrelated AR(1) noise, and the second example is a
four-variable time series containing a quadratic trend plus
a periodic signal and a AR(1) noise. Covariance-based
EOFs of the first example and correlation-based EOFs of
Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
12 A. HANNACHI

(a) Eigenvalue spectrum (Z500 mb) (a) Trend mode 1 (Z500)

101 40
30
20
Eigenvalue (%)

10
0
-10

100 -20
-30
0 10 20 30 -40
Rank
-50
(b) Eigenvalue spectrum (Z925 mb) -60
101
(b) Trend EOF 2 (Z500)
8
7
Eigenvalue (%)

6
5
4
3
2
100 1
0
-1
0 10 20 30 -2
Rank -3
-4
(c) Eigenvalue spectrum (Z1000 mb) -5
101
-6
-7
Time series of trend mode 1 (Z500)
Eigenvalue (%)

2
1
0
x

100
0 10 20
Rank
Figure 12. As in Figure 6, but for the winter monthly geopotential
heights at 500 mb (a), 925 mb (b), and 1000 mb (c).
the second example failed to capture the trend. Maximum
autocorrelation method also produces results similar to
EOFs. The new method, however, correctly captures the
trend as its leading pattern.
The method is then applied to northern hemispheric
NCEP/NCAR reanalyses using DJF SLP and geopotential
heights at various levels. The eigenspectrum of the (area-
weighted) inverse-rank correlation/covariance matrix of
SLP reveals different feature from usual spectra, with
two separated leading eigenvalues well above a no-trend
floor. The first trend EOF is associated with the familiar
NAO, whereas the second trend EOF is associated with
the SiH. The TPCs clearly show the increasing trend
for the NAO since the beginning of the record, and an
increasing trend during the last quarter of the century for
the SiH. The third trend EOF, with eigenvalue already
-1
-2
-3
Jan50 Jan60 Jan70 Jan80 Jan90 Jan00
30 Time
Figure 13. (a) The trend mode, i.e. after projection back onto the data
space, for DJF 500 mb heights associated with the leading eigenvalue
of Figure 12(a); (b) The trend EOF, i.e. eigenvector of Equation (7),
associated with the second eigenvalue; and (c) the standardised time
series of the trend mode obtained by projecting the data anomalies onto
the trend mode shown in (a). Contour interval 1 m in (a).
in the no-trend floor, is structureless like noise, i.e. it
contains no trend.
The application to geopotential heights reveals some
differences between levels. At 500 mb, there is only one
single eigenvalue above the no-trend floor. The associated
trend mode shows the cold ocean-warm land pattern.
As we move to lower levels the spectrum starts to
show slight differences. At 925 mb, e.g., the leading
eigenvalue is still unchanged, i.e. well above the no-
trend floor; however, the second eigenvalue is slightly
raised off the no-trend floor. As one reaches 1000 mb, the
second eigenvalue has risen off the no-trend floor. The
trend modes associated with these leading eigenvalues
represent respectively the NAO and the SiH patterns.

Copyright  2006 Royal Meteorological Society Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
 A NEW METHOD FOR FINDING TRENDS IN GRIDDED CLIMATE DATA
(a) Trend mode 1 (Z1000)
32
24
16
8 physical or data space. This is because of the nonlin-
0 ear transformation involved. However, this is a generic
-8
-16
-24
-32
-40
-48
(b) Trend mode 2 (Z1000)
24
18
12
6 and two anonymous reviewers for their constructive com-
0
-6
-12
-18
-24
Figure 14. As in Figure 10, but for the leading two trend modes,
i.e. after projection back onto the data space, corresponding to DJF
geopotential heights at 1000 mb, Z1000 mb. Contour interval is 8 m
in (a) and 6 m in (b).
The method clearly captures the modes associated
with trends in SLP and geopotential heights. The out-
standing feature of the method is its ability to sepa-
rate patterns associated with trends, albeit small, from
patterns not associated with trends. This is achieved
simply by examining the spectrum and the associated
trend EOFs. The NAO trend mode is well captured
from both fields. In the middle atmosphere, the trend
mode becomes the COWL pattern. The SiH is cap-
tured in SLP and the very low-level height fields. This
is entirely consistent with the fact that the SiH is
confined to the low levels and boundary layer of the
atmosphere.
The method is simple to use, and yields a few pat-
terns whose structures can be interpreted in general. The
method can also be used effectively to remove vari-
ous trends from climate data and to yield detrended
data that can be investigated further. Like any other
approach, the method has advantages and disadvantages.
However, the advantages seem to outweigh the disad-
vantages. The method requires at least two variables
to be trendy in order to capture a trend. Clearly in
weather/climate this is in general the case because it is
Copyright  2006 Royal Meteorological Society
13
conceptually difficult to think of a field of data where
one single grid point has a trend and all other grid points
contain no trend. This is because nearby grid points
tend to be highly correlated. The other weakness of the
method is the back-transformation of the patterns to the
problem in all nonlinear methods, e.g. nonlinear PCs.
Here, we projected the data onto the trend EOFs to
obtain the corresponding time series. The trend modes
are then obtained by regressing these time series (scaled
to have unit variance) back onto the data. The trend
modes could also be obtained by regressing the TPCs
onto the anomaly field; but the results are found to be
similar.
ACKNOWLEDGEMENTS
This work was funded by the NCAS Centre for Global
Atmospheric Modelling (CGAM), the University of
Reading. The author wishes to thank Prof. Ian Jolliffe
ments that helped improve the manuscript.
APPENDIX A
On rank correlation and the inverse of ranks
Let us be given two time series x1 , x2 , . . . , xn , and
y1 , y2 , . . . , yn , supposed to be realisations of two random
variables X and Y with respective marginal cdfs FX () and
FY (). We also suppose that the first time series is sorted
into x[1] ≤ x[2] ≤ · · · , ≤ x[n] , and similarly for the second
one. A familiar estimate of the cdf FX () is given by the
empirical distribution function (edf) defined by:

0 if u < x[1]
F̂X (u) = nk if x[k] ≤ u < x[k+1] (A1)
1 if u > x[n]
and similarly for FY (). Now the sample x1 , x2 , . . . , xn is
mapped, using the edf F̂X (), onto pn1 , pn2 , . . . , pnn , where
p1 , p2 , . . . , pn are the ranks of the first time series. This
yields the Spearman’s rank correlation as the sample
estimate of Equation (3).
Consider now the first time series. The elements of
the sequence p1 , p2 , . . . , pn of ranks are given by pk =
P (k), k = 1, . . . , n, where P () is some permutation
of {1, 2, . . . , n}. For example, x1 is the p1 ’th smallest
element of the series. Associated with the sorted data
x[1] ≤ x[2] ≤ · · · , ≤ x[n] is the sequence q1 , q2 , . . . , qn of
the (original) time positions of the data, where qk =
Q(k), k = 1, . . . , n, and Q() is a another permutation of
{1, 2, . . . , n}. Now for any 1 ≤ k ≤ n, because xk is the
pk ’th smallest element yields xk = x[pk ] . Similarly, x[k] ,
is the k’th smallest element in the sorted data, and its time
position in the original time series is qk , that is x[k] = xqk .
These two equalities yield: xk = x[P (k)] = xQ(P (k)) , and
hence the permutations P () and Q() are inverses of each
other.
Int. J. Climatol. 27: 1–15 (2007)
DOI: 10.1002/joc
14 A. HANNACHI

APPENDIX B approximately to a leading eigenvector of
. In other

Trend and the covariance matrix of positions/inverse words, the maximum of cov (u1 qx + u2 qy , n), with u =
ranks (u1 , u2 )T a unit vector, is obtained with u = a.
Let us now compare this with the ordinary covariance
Here we provide proof for a simple case to find trend
matrix S of the original time series. It is clear from the
using the covariance matrix of the time positions of
eigenvalues
the sorted data. A simple bivariate case consisting of a
linear trend and a random noise is presented. The case of



2 

a 2
+ b 2  σ 2
− σ 2
σ − σ 2
σ 2 + ση2
λ± = σT2 1 ± 1 + ε η
2 σT2 (a 2 + b2 )2
more than two variables is similar in principle. Let xt =
at + εt , and yt = bt + ηt , t = 1, . . . , n be two time series
with independent and identically distributed (iid) noises
εt and ηt with variances σε2 and ση2 , and we let a and
b to be nonnegative. Let qx = (q1x , . . . , qnx )T and qy =
y y
(q1 , . . . , qn )T be the time positions of the sorted time
series. Also let xq x = a1 (xq1x , . . . , xqnx )T , and similarly for
εq x , yq y , and ηq y . So we have qx = a1 xq x − a1 εq x , and
qy = b1 yq y − b1 ηq y . The eigenvalues of the covariance
matrix
of (qx , qy ) are:
λ± = σT2 ± cov(q , q )
x y
(B1)
where σT2 = n 12−1 , (or 1 ± corr(qx , qy ) when the cor-
2
relation matrix is used) with leading eigenvector a =
√1 (1, 1)T . Now when the trend is detectable (e.g. σε and
2 Bishop CM. 1995. Neural Networks for Pattern Recognition. Clarendon
ση are smaller than σT ), then both qx and qy will be
highly correlated with the sequence n = (1, 2, . . . , n)T
and then cov(qx , qy ) will be close to σT2 (this also means
that εq x and ηq y remain nearly iid). The result is that λ−
will be significantly smaller than λ+ , and most of the
variance will be explained by λ+ (which will be close
to 2σT2 ), that is by the trend. Note also that the correla-
tions of the leading trend PC with qx and qy will be even
larger than corr(qx , qy ). If, on the other hand, the trend
is not detectable (e.g. aσT or bσT is very small compared
to σε and ση ), then qx and qy will be (nearly) uncorre-
lated, and the spectrum Equation (B1) will be degenerate.
This also happens when only one time series at most con-
tains a trend, e.g. a > 0 and b = 0. When more than two
dimensions are considered, the method will capture trends
when at least two variables are trendy. This is because
the restriction of
to these variables will contain at least
one nondegenerate eigenvalue, see Equation (B1). Note,
in particular, how the noise variances are not explicitly
involved in Equation (B1). They get involved only in
the degeneracy of Equation (B1). Now suppose that the
trend is detectable (i.e. λ+ is significantly larger than λ− ).
The vector coefficients (α, β) of the trend is obtained by
regressing qx and qy onto n as:
(α, β) = (cov(qx , n), cov(qy , n)) (B2)
and since qx is highly correlated with qy , and that
cov(qx , n) ≈ cov(qy , n), the vector (α, β) corresponds
Copyright  2006 Royal Meteorological Society
ε η
+ 2(a 2 − b2 )  + ε (B3)
σT2 2
of S that when σε = ση both PCs will contain parts of
the trend variance. For the particular case where σε = ση ,
the leading PC will contain both the trend and the noise
variances. Note that this happens even if one of the time
series does not contain a trend, e.g. a = 0. In this case the
leading PC, with λ+ = b2 σT2 + ση2 , will contain both the
trend and the noise variance. Interestingly, however, there
are values of b such that the eigenvalues are degenerate
and they do not contain the trend variance at all.
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