The complexity of climate variability on all time scales requires the
use of several refined tools to unravel its primary dynamics from obse
rvations. Indeed, ideas from the theory of dynamical systems have prov
ided new ways of interpreting the information contained in climatic ti
me series. We review the properties of several modem time series analy
sis methods. Those methods belong to four main classes: Fourier techni
ques (Blackman-Tukey and Multi-Taper), Maximum Entropy technique, Sing
ular-spectrum techniques and wavelet analysis. Their respective advant
ages and limitations are illustrated by numerical experiments on synth
etic time series. As climate data can be irregularly spaced in time, w
e also compare three interpolating methods on those time series. Those
tests are aimed at showing the pitfalls of the blind use of mathemati
cal or statistical techniques on climate data. We apply those methods
to 'real' climatic data from temperature variations over the last cent
ury, and the Vostok ice core deuterium record over the last glacial cy
cle. Then we show how interpretations on the dynamics of climate can b
e derived on those time scales.