Yule: The Time-Correlation Problem, Nonsense Correlations, Periodicity and Autoregressions

Abstract

George Udny Yule was born on 18 February 1871 in Beech Hill near Haddington, Scotland, into an established Scottish family composed of army officers, civil servants, scholars and administrators, and both his father, also named George Udny, and a nephew were knighted. Although he originally studied engineering and physics at UCL and Bonn, Germany, publishing four papers on electric waves, Yule returned to UCL in 1893 as a demonstrator for the distinguished statistician (and much else besides!) Karl Pearson, later becoming an Assistant Professor. Yule left UCL in 1899 to work for the City and Guilds of London Institute, although he was also to hold the Newmarch Lectureship in Statistics at UCL. In 1912 he became lecturer in statistics at the University of Cambridge (later being promoted to Reader) and in 1913 began his long association with St. John’s College, becoming a Fellow in 1922. Yule was also active in the RSS: elected a Fellow in 1906, he served as Honorary Secretary, was President from 1924 to 1926, and was awarded the prestigious Guy Medal in Gold in 1911. His textbook, Introduction to the Theory of Statistics, ran to 14 editions (the last four being co-authored with Maurice Kendall: see Chapter 3) and, as well as contributing massively to the foundations of time series analysis, he also researched on Mendelian inheritance (see, in particular, Yule, 1902, 1914, and for discussion, Tabery, 2004) and on the statistics of literary style (Yule, 1944, 1946), as well as on many other aspects of statistics. Retiring from his readership at the age of 60, and having always been a very fast driver, he decided to learn to fly, eventually buying his own plane and acquiring a pilot’s licence.