The wavelet local multiple correlation (WLMC) is introduced for the first time in the study of climate dynamics inferred from multivariate climate time series. To exemplify the use of WLMC with real climate data, we analyse Last Millennium (LM) relationships among several large-scale reconstructed climate variables characterizing North Atlantic: i.e. sea surface temperatures (SST) from the tropical cyclone main developmental region (MDR), the El Niño-Southern Oscillation (ENSO), the North Atlantic Multidecadal Oscillation (AMO), and tropical cyclone counts (TC). We examine the former three large-scale variables because they are known to influence North Atlantic tropical cyclone activity and because their underlying drivers are still under investigation. WLMC results obtained for these multivariate climate time series suggest that: (1) MDRSST and AMO show the highest correlation with each other and with respect to the TC record over the last millennium, and: (2) MDRSST is the dominant climate variable that explains TC temporal variability. WLMC results confirm that this method is able to capture the most fundamental information contained in multivariate climate time series and is suitable to investigate correlation among climate time series in a multivariate context.
