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Extreme Times

May 2, 2014

Watts Up With That?

Guest Post by Willis Eschenbach

I read a curious statement on the web yesterday, and I don’t remember where. If the author wishes to claim priority, here’s your chance. The author said (paraphrasing):

If you’re looking at any given time window on an autocorrelated time series, the extreme values are more likely to be at the beginning and the end of the time window.

“Autocorrelation” is a way of measuring how likely it is that tomorrow will be like today. For example, daily mean temperatures are highly auto-correlated. If it’s below freezing today, it’s much more likely to be below freezing tomorrow than it is to be sweltering hot tomorrow, and vice-versa.

Anyhow, being a suspicious fellow, I thought “I wonder if that’s true …”. But I filed it away, thinking, I know that’s an important insight if it’s true … I just don’t know why …

Last night…

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