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I found that those three are all frequently used as I've searched each of them in NYT site. I wonder what's the difference among them in usage.

The examples are as below.

Cold spell:

  • Although this cold spell would not have been unusual before global warming, it is now a relatively rare event in any one region.

  • That first cold spell of the season always feels especially harsh.

  • How do you feel about the frigid cold spell gripping North America?

Cold snap:

  • With climate change warming the Arctic air, researchers say, cold snaps are getting warmer. The recent spell of cold was an outlier.

  • While temperatures across the country on Monday will remain below zero, the cold snap will start to break during the day Tuesday.

  • Slippery conditions as cold snap ends in most of Finland

Cold wave

  • The severest cold wave of this Winter is being experienced.

  • More than 270 people have died from a month-old cold wave in northern India

  • This warmth came despite a significant January cold wave in the eastern United States that brought copious snowfall to several regions.

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I don't know if all speakers use these terms in the same way, but for many speakers a cold snap is a sudden and abrupt drop in temperature, whereas with cold spell and a cold wave there is no implication of sudden change. A spell is a length of time, and a wave is something that comes in and grows gradually until it breaks.

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