The purpose of this chapter is to discuss Empirical Orthogonal Functions (EOF), both in method and application. When dealing with teleconnections in the previous chapter we came very close to EOF, so it will be a natural extension of that theme. However, EOF opens the way to an alternative point of view about space–time relationships, especially correlation across distant times as in analogues. EOFs have been treated in book-size texts, most recently in Jolliffe (2002), a principal older reference being Preisendorfer (1988). The subject is extremely interdisciplinary, and each field has its own nomenclature, habits and notation. Jolliffe’s book is probably the best attempt to unify various fields. The term EOF appeared first in meteorology in Lorenz (1956). Zwiers and von Storch (1999) and Wilks (1995) devote lengthy single chapters to the topic. Here we will only briefly treat EOF or PCA (Principal Component Analysis) as it is called in most fields. Specifically we discuss how to set up the covariance matrix, how to calculate the EOF, what are their properties, advantages, disadvantages etc. We will do this in both space–time set-ups already alluded to in Equations (2.14) and (2.14a). There are no concrete rules as to how one constructs the covariance matrix. Hence there are in the literature matrices based on correlation, based on covariance, etc. Here we follow the conventions laid out in Chapter 2. The post-processing and display conventions of EOFs can also be quite confusing. Examples will be shown, for both daily and seasonal mean data, for both the Northern and Southern Hemisphere. EOF may or may not look like teleconnections. Therefore, as a diagnostic tool, EOFs may not always allow the interpretation some would wish. This has led to many proposed “simplifications” of the EOFs, which hopefully are more like teleconnections. However, regardless of physical interpretation, since EOFs are maximally efficient in retaining as much of the data set’s information as possible for as few degrees of freedom as possible they are ideally suited for empirical modeling. Indeed EOFs are an extremely popular tool these days.
A Space-Time Data Analysis Using Complex Empirical Orthogonal Functions
