Wavelet Analysis of Red Noise and Its Application in Climate Diagnosis

Abstract

Signals are often destroyed by various kinds of noises. A common way to statistically assess the significance of a broad spectral peak in signals and the synchronization between signals is to compare with simple noise processes. At present, wavelet analysis of red noise is studied limitedly and there is no general formula on the distribution of the wavelet power spectrum of red noise. Moreover, the distribution of the wavelet phase of red noise is also unknown. In this paper, for any given real/analytic wavelet, we will use a rigorous statistical framework to obtain the distribution of the wavelet power spectrum and wavelet phase of red noise and apply these formulas in climate diagnosis.