Sampling Errors in the Estimation of Empirical Orthogonal Functions

Empirical Orthogonal Functions (EOF's), eigenvectors of the spatial cross-covariance matrix of a meteorological field, are reviewed with special attention given to the necessary weighting factors for gridded data and the sampling errors incurred when too small a sample is available. The geographical shape of an EOF shows large intersample variability when its associated eigenvalue is “close” to a neighboring one. A rule of thumb indicating when an EOF is likely to be subject to large sampling fluctuations is presented. An explicit example, based on the statistics of the 500 mb geopotential height field, displays large intersample variability in the EOF's for sample sizes of a few hundred independent realizations, a size seldom exceeded by meteorological data sets.