Guest Post by Willis Eschenbach
One of the best parts of writing for the web is the outstanding advice and guidance I get from folks with lots of experience. I recently had the good fortune to have Robert Brown of Duke University recommend a study by Demitris Koutsoyiannis entitled The Hurst phenomenon and fractional Gaussian noise made easy. It is indeed “made easy”, I recommend it strongly. In addition, Leif Svalgaard recommended another much earlier study of a similar question (using very different terminology) in a section entitled “Random series, and series with conservation” of a book entitled “Geomagnetism“. See p.584, and Equation 91. While it is not “made hard”, it is not “made easy” either.
Between these two excellent references I’ve come to a much better understanding of the Hurst phenomenon and of fractional gaussian noise. In addition, I think I’ve come up with a way to calculate the equivalent number of independent data points in an autocorrelated dataset.
So as I did in my last post on this subject, let me start with a question. Here is the recording of the Nile River levels made at the “Roda Nilometer” on the Nile river. It is one of the longest continuous climate-related records on the planet, extending from the year 622 to the year 1284, an unbroken stretch of 633 years. There’s a good description of the nilometer here, and the nilometer dataset is available here.
So without further ado, here’s the question:
Is there a significant trend in the Nile River over that half-millennium plus from 622 to 1284?
Well, it sure looks like there is a trend. And a standard statistical analysis says it is definitely significant, viz:
Coefficients: Estimate Std. Error t value P-value less than (Intercept) 1.108e+03 6.672e+00 166.128 < 2e-16 *** seq_along(nilometer) 1.197e-01 1.741e-02 6.876 1.42e-11 *** --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ' 1 Residual standard error: 85.8 on 661 degrees of freedom Multiple R-squared: 0.06676, Adjusted R-squared: 0.06535 F-statistic: 47.29 on 1 and 661 DF, p-value: 1.423e-11
That says that the odds of finding such a trend by random chance are one in 142 TRILLION (p-value less than 1.42e-11).
Now, due to modern computer speeds, we don’t have to take the statisticians’ word for it. We can actually run the experiment ourselves. It’s called the “Monte Carlo” method. To use the Monte Carlo method, we generate say a thousand sets (instances) of 663 random numbers. Then we measure the trends in each of the thousand instances, and we see how the Nilometer trend compares to the trends in the pseudodata. Figure 2 shows that result:
Figure 2. Histogram showing the distribution of the linear trends in 1000 instances of random normal pseudodata of length 633. Mean and standard deviation of the pseudodata has been set to the mean and standard deviation of the nilometer data.
As you can see, our Monte Carlo simulation of the situation agrees completely with the statistical analysis—such a trend is extremely unlikely to have occurred by random chance.
So what’s wrong with this picture? Let me show you another picture to explain what’s wrong. Here are twenty of the one thousand instances of random normal pseudodata … with one of them replaced by the nilometer data. See if you can spot which one is nilometer data just by the shapes:
If you said “Series 7 is nilometer data”, you win the kewpie doll. It’s obvious that it is very different from the random normal datasets. As Koutsoyiannis explains in his paper, this is because the nilometer data exhibits what is called the “Hurst phenomenon”. It shows autocorrelation, where one data point is partially dependent on previous data points, on both long and short time scales. Koutsoyiannis shows that the nilometer dataset can be modeled as an example of what is called “fractional gaussian noise”.
This means that instead of using random normal pseudodata, what I should have been using is random fractional gaussian pseudodata. So I did that. Here is another comparison of the nilometer data, this time with 19 instances of fractional gaussian pseudodata. Again, see if you can spot the nilometer data.
Not so easy this time, is it, they all look quite similar … the answer is Series 20. And you can see how much more “trendy” this kind of data is.
Now, an internally correlated dataset like the nilometer data is characterized by something called the “Hurst Exponent”, which varies from 0.0 to 1.0. For perfectly random normal data the Hurst Exponent is 0.5. If the Hurst Exponent is larger than that, then the dataset is positively correlated with itself internally. If the Hurst Exponent is less than 0.5, then the dataset is negatively correlated with itself. The nilometer data, for example, has a Hurst Exponent of 0.85, indicating that the Hurst phenomenon is strong in this one …
So what do we find when we look at the trends of the fractional gaussian pseudodata shown in Figure 4? Figure 5 shows an overlay of the random normal trend results from Figure 2, displayed on top of the fractional gaussian trend results from the data exemplified in Figure 4.
Figure 5. Two histograms. The blue histogram shows the distribution of the linear trends in 1000 instances of random fractional gaussian pseudodata of length 633. The average Hurst Exponent of the pseudodata is 0.82 That blue histogram is overlaid with a histogram in red showing the distribution of the linear trends in 1000 instances of random normal pseudodata of length 633 as shown in Figure 2. Mean and standard deviation of the pseudodata has been set to the mean and standard deviation of the nilometer data.
I must admit, I was quite surprised when I saw Figure 5. I was expecting a difference in the distribution of the trends of the two sets of pseudodata, but nothing like that … as you can see, while standard statistics says that the nilometer trend is highly unusual, in fact it is not unusual at all. About 15% of the pseudodata instances have trends larger than that of the nilometer.
So we now have the answer to the question I posed above. I asked whether there was a significant rise in the Nile from the year 622 to the year 1284 (see Figure 1). Despite standard statistics saying most definitely yes, amazingly, the answer seems to be … most definitely no. That amount of trend in a six-century plus dataset is not enough to say that it is more than just a 663-year random fluctuation of the Nile. The problem is simple—these kinds of trends are common in fractional gaussian data.
Now, one way to understand this apparent conundrum is that because the nilometer dataset is internally correlated on both the short and long term, it is as though there were fewer data points than the nominal 633. The important concept is that since the data points are NOT independent of each other, a large number of inter-dependent data points acts statistically like a smaller number of truly independent data points. This is the basis of the idea of the “effective n”, which is how such autocorrelation issues are often handled. In an autocorrelated dataset, the “effective n”, which is the number of effective independent data points, is always smaller than the true n, which is the count of the actual data.
But just how much smaller is the effective n than the actual n? Well, there we run into a problem. We have heuristic methods to estimate it, but they are just estimations based on experience, without theoretical underpinnings. I’ve often used the method of Nychka, which estimates the effective n from the lag-1 auto-correlation (Details below in Notes). The Nychka method estimates the effective n of the nilometer data as 182 effective independent data points … but is that correct? I think that now I can answer that question, but there will of course be a digression.
I learned two new and most interesting things from the two papers recommended to me by Drs. Brown and Svalgaard. The first was that we can estimate the number of effective independent data points from the rate at which the standard error of the mean decreases with increasing sample size. Here’s the relevant quote from the book recommended by Dr. Svalgaard:
Figure 6. See paper for derivation and details. The variable “m” is the standard deviation of the full dataset. The function “m(h)” is the standard deviation of the means of the full dataset taken h data points at a time.
Now, you’ve got to translate the old-school terminology, but the math doesn’t change. This passage points to a method, albeit a very complex method, of relating what he calls the “degree of conservation” to the number of degrees of freedom, which he calls the “effective number of random ordinates”. I’d never thought of determining the effective n in the manner he describes.
This new way of looking at the calculation of neff was soon complemented by what I learned from the Koutsoyiannis paper recommended by Dr. Brown. I found out that there is an alternative formulation of the Hurst Exponent. Rather than relating the Hurst Exponent to the range divided by the standard deviation, he shows that the Hurst Exponent can be calculated as a function of the slope of the decline of the standard deviation with increasing n (the number of data points). Here is the novel part of the Koutsoyiannis paper for me:
Figure 7. The left hand side of the equation is the standard deviation of the means of all subsets of length “n”, that is to say the standard error of the mean for that data. On the right side, sigma ( σ ), the standard deviation of the means, is divided by “n”, the number of data points, to the power of (1-H), where H is the Hurst Exponent. See paper for derivation and details.
In the statistics of normally distributed data, the standard error of the mean (SEM) is sigma (the standard deviation of the data) divided by the square root of N, the number of data points. However, as Koutsoyiannis shows, this is a specific example of a more general rule. Rather than varying as a function of 1 over the square root of n (n^0.5), the SEM varies as 1 over n^(1-H), where H is the Hurst exponent. For a normal dataset, H = 0.5, so the equation reduces to the usual form.
SO … combining what I learned from the two papers, I realized that I could use the Koutsoyiannis equation shown just above to estimate the effective n . You see, all we have to do is relate the SEM shown above, . , to the number of effective independent data points it would take to give you the same SEM. In the case of independent data we know that the SEM is equal to . Setting the two expressions for the SEM equal to each other we get
where the left hand term is the standard error of the mean, and the two right hand expressions are different equivalent ways of calculating that same standard error of the mean.
Inverting the fractions, cancelling out the sigmas, and squaring both sides we get
Egads, what a lovely result! Equation 1 calculates the number of effective independent data points using only n, the number of datapoints in the dataset, and H, the Hurst Exponent.
As you can imagine, I was quite interested in this discovery. However, I soon ran into the next oddity. You may recall from above that using the method of Nychka for estimating the effective n, we got an effective n (neff) of 182 independent data points in the nilometer data. But the Hurst Exponent for the nilometer data is 0.85. Using Equation 1, this gives us an effective n of 663^(2-2* 0.85) equals seven measly independent data points. And for the fractional gaussian pseudodata, with an average Hurst Exponent of 0.82, this gives only about eleven independent data points.
So which one is right—the Nychka estimate of 182 effective independent datapoints, or the much smaller value of 11 calculated with Equation 1? Fortunately, we can use the Monte Carlo method again. Instead of using 663 random normal data points stretching from the year 622 to 1284, we can use a smaller number like 182 datapoints, or even a much smaller number like 11 datapoints covering the same time period. Here are those results:
Figure 8. Four histograms. The solid blue filled histogram shows the distribution of the linear trends in 1000 instances of random fractional gaussian pseudodata of length 633. The average Hurst Exponent of the pseudodata is 0.82 That blue histogram is overlaid with a histogram in red showing the distribution of the linear trends in 1000 instances of random normal pseudodata of length 633. These two are exactly as shown in Figure 2. In addition, the histograms of the trends of 1000 instances of random normal pseudodata of length n=182 and n=11 are shown in blue and black. Mean and standard deviation of the pseudodata has been set to the mean and standard deviation of the nilometer data.
I see this as a strong confirmation of this method of calculating the number of equivalent independent data points. The distribution of the trends with 11 points of random normal pseudodata is very similar to the distribution of the trends with 663 points of fractional gaussian pseudodata with a Hurst Exponent of 0.82, exactly as Equation 1 predicts.
However, this all raises some unsettling questions. The main issue is that the nilometer data is by no means the only dataset out there that exhibits the Hurst Phenomena. As Koutsoyiannis observes:
The Hurst or scaling behaviour has been found to be omnipresent in several long time series from hydrological, geophysical, technological and socio-economic processes. Thus, it seems that in real world processes this behaviour is the rule rather than the exception. The omnipresence can be explained based either on dynamical systems with changing parameters (Koutsoyiannis, 2005b) or on the principle of maximum entropy applied to stochastic processes at all time scales simultaneously (Koutsoyiannis, 2005a).
As one example among many, the HadCRUT4 global average surface temperature data has an even higher Hurst Exponent than the nilometer data, at 0.94. This makes sense, because the global temperature data is heavily averaged over both space and time. As a consequence the Hurst Exponent is high. And with such a high Hurst Exponent, despite there being 1,977 months of data in the dataset, the relationship shown above indicates that the effective n is tiny—there are only the equivalent of about four independent datapoints in the whole of the HadCRUT4 global average temperature dataset. Four.
SO … does this mean that we have been chasing a chimera? Are the trends which we have believed to be so significant simply the typical meanderings of high Hurst Exponent systems? Or have I made some foolish mistake?
I’m up for any suggestions on this one …
Best regards to all, it’s ten to one in the morning, full moon is tomorrow, I’m going outside for some moon viewing …
UPDATE: Demetris Koutsoyiannis was kind enough to comment below. In particular, he said that my analysis was correct. He also pointed out in a most gracious manner that he was the original describer of the relationship, back in 2007. My thanks to him.
Demetris Koutsoyiannis July 1, 2015 at 2:04 pm
Willis, thank you very much for the excellent post and your reference to my work. I confirm your result on the effective sample size — see also equation (6) in
As You Might Have Heard: If you disagree with someone, please have the courtesy to quote the exact words you disagree with so we can all understand just exactly what you are objecting to.
The Data Notes Say:
### Nile river minima
## Yearly minimal water levels of the Nile river for the years 622
## to 1281, measured at the Roda gauge near Cairo (Tousson, 1925,
## p. 366-385). The data are listed in chronological sequence by row.
## The original Nile river data supplied by Beran only contained only
## 500 observations (622 to 1121). However, the book claimed to have
## 660 observations (622 to 1281). I added the remaining observations
## from the book, by hand, and still came up short with only 653
## observations (622 to 1264).
### — now have 663 observations : years 622–1284 (as in orig. source)
The Method Of Nychka: He calculates the effective n as follows:
where “r” is the lag-1 autocorrelation.