ESS210B
Prof. Jin-Yi Yu
Correlation Matrix
qSometime, we use the correlation matrix, in stead of the covariance matrix, for EOF analysis.
qFor the same time series, the EOFs obtained from the covariance matrix will be different from the
EOFs obtained from the correlation matrix.
qThe decision to choose the covariance matrix or the correlation matrix depends on how we wish the variance
at each grid points (Xi) are weighted.
qIn the case of the covariance matrix formulation, the elements of the state vector with larger variances
will be weighted more heavily.
qWith the correlation matrix, all elements receive the same weight and only the structure and not the
amplitude will influence the principal components.