I want to compare the volatility of two climate data sets. I chosen the
Pearson correlation coefficient as the indicator。I wonder if there is a better index to calculate the consistency between two time series climate data sets?
Hello Li,
the correlation coefficient is NO measure for the volatility of time series. You may start looking at the standard deviation (or variance) of the series first. Both can be related then to the mean --> coefficient of variation
Higher statistical orders are certainly more sensitive to volatility.
You could take a page from turbulence theory and look at their scaling behavior.
I am not saying that this is the accepted way to do it though - its just an idea.
You could even go all the way and determine and compare the parameters for the respective Fokker Planck equations...
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