On the behaviour of some physical parameterization methods in high-resolution numerical weather prediction models

Modern-day weather forecasting is highly dependent on Numerical Weather Prediction (NWP) models as the main data source. The evolving state of the atmosphere with time can be numerically predicted by solving a set of hydrodynamic equations, if the initial state is known. However, such a modelling approach always contains approximations that by and large depend on the purpose of use and resolution of the models. Present-day NWP systems operate with horizontal model resolutions in the range from about 40 km to 10 km. Recently, the aim has been to reach operationally to scales of 1 4 km. This requires less approximations in the model equations, more complex treatment of physical processes and, furthermore, more computing power. This thesis concentrates on the physical parameterization methods used in high-resolution NWP models. The main emphasis is on the validation of the grid-size-dependent convection parameterization in the High Resolution Limited Area Model (HIRLAM) and on a comprehensive intercomparison of radiative-flux parameterizations. In addition, the problems related to wind prediction near the coastline are addressed with high-resolution meso-scale models. The grid-size-dependent convection parameterization is clearly beneficial for NWP models operating with a dense grid. Results show that the current convection scheme in HIRLAM is still applicable down to a 5.6 km grid size. However, with further improved model resolution, the tendency of the model to overestimate strong precipitation intensities increases in all the experiment runs. For the clear-sky longwave radiation parameterization, schemes used in NWP-models provide much better results in comparison with simple empirical schemes. On the other hand, for the shortwave part of the spectrum, the empirical schemes are more competitive for producing fairly accurate surface fluxes. Overall, even the complex radiation parameterization schemes used in NWP-models seem to be slightly too transparent for both long- and shortwave radiation in clear-sky conditions. For cloudy conditions, simple cloud correction functions are tested. In case of longwave radiation, the empirical cloud correction methods provide rather accurate results, whereas for shortwave radiation the benefit is only marginal. Idealised high-resolution two-dimensional meso-scale model experiments suggest that the reason for the observed formation of the afternoon low level jet (LLJ) over the Gulf of Finland is an inertial oscillation mechanism, when the large-scale flow is from the south-east or west directions. The LLJ is further enhanced by the sea-breeze circulation. A three-dimensional HIRLAM experiment, with a 7.7 km grid size, is able to generate a similar LLJ flow structure as suggested by the 2D-experiments and observations. It is also pointed out that improved model resolution does not necessary lead to better wind forecasts in the statistical sense. In nested systems, the quality of the large-scale host model is really important, especially if the inner meso-scale model domain is small.

Studies on orographic effects in a numerical weather prediction model

Numerical models, used for atmospheric research, weather prediction and climate simulation, describe the state of the atmosphere over the heterogeneous surface of the Earth. Several fundamental properties of atmospheric models depend on orography, i.e. on the average elevation of land over a model area. The higher is the models' resolution, the more the details of orography directly influence the simulated atmospheric processes. This sets new requirements for the accuracy of the model formulations with respect to the spatially varying orography. Orography is always averaged, representing the surface elevation within the horizontal resolution of the model. In order to remove the smallest scales and steepest slopes, the continuous spectrum of orography is normally filtered (truncated) even more, typically beyond a few gridlengths of the model. This means, that in the numerical weather prediction (NWP) models, there will always be subgridscale orography effects, which cannot be explicitly resolved by numerical integration of the basic equations, but require parametrization. In the subgrid-scale, different physical processes contribute in different scales. The parametrized processes interact with the resolved-scale processes and with each other. This study contributes to building of a consistent, scale-dependent system of orography-related parametrizations for the High Resolution Limited Area Model (HIRLAM). The system comprises schemes for handling the effects of mesoscale (MSO) and small-scale (SSO) orographic effects on the simulated flow and a scheme of orographic effects on the surface-level radiation fluxes. Representation of orography, scale-dependencies of the simulated processes and interactions between the parametrized and resolved processes are discussed. From the high-resolution digital elevation data, orographic parameters are derived for both momentum and radiation flux parametrizations. Tools for diagnostics and validation are developed and presented. The parametrization schemes applied, developed and validated in this study, are currently being implemented into the reference version of HIRLAM.

Essays on the Modeling and Prediction of Volatility and Higher Moments of Stock Returns (summary section only)

One of the most fundamental and widely accepted ideas in finance is that investors are compensated through higher returns for taking on non-diversifiable risk. Hence the quantification, modeling and prediction of risk have been, and still are one of the most prolific research areas in financial economics. It was recognized early on that there are predictable patterns in the variance of speculative prices. Later research has shown that there may also be systematic variation in the skewness and kurtosis of financial returns. Lacking in the literature so far, is an out-of-sample forecast evaluation of the potential benefits of these new more complicated models with time-varying higher moments. Such an evaluation is the topic of this dissertation. Essay 1 investigates the forecast performance of the GARCH (1,1) model when estimated with 9 different error distributions on Standard and Poor’s 500 Index Future returns. By utilizing the theory of realized variance to construct an appropriate ex post measure of variance from intra-day data it is shown that allowing for a leptokurtic error distribution leads to significant improvements in variance forecasts compared to using the normal distribution. This result holds for daily, weekly as well as monthly forecast horizons. It is also found that allowing for skewness and time variation in the higher moments of the distribution does not further improve forecasts. In Essay 2, by using 20 years of daily Standard and Poor 500 index returns, it is found that density forecasts are much improved by allowing for constant excess kurtosis but not improved by allowing for skewness. By allowing the kurtosis and skewness to be time varying the density forecasts are not further improved but on the contrary made slightly worse. In Essay 3 a new model incorporating conditional variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously used NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor’s 500 returns. The results show that only the new model produces satisfactory VaR forecasts for both 1% and 5% VaR Taken together the results of the thesis show that kurtosis appears not to exhibit predictable time variation, whereas there is found some predictability in the skewness. However, the dynamic properties of the skewness are not completely captured by any of the models.

Kalman Filter Algorithm for Rating and Prediction in Basketball

The Thesis presents a state-space model for a basketball league and a Kalman filter algorithm for the estimation of the state of the league. In the state-space model, each of the basketball teams is associated with a rating that represents its strength compared to the other teams. The ratings are assumed to evolve in time following a stochastic process with independent Gaussian increments. The estimation of the team ratings is based on the observed game scores that are assumed to depend linearly on the true strengths of the teams and independent Gaussian noise. The team ratings are estimated using a recursive Kalman filter algorithm that produces least squares optimal estimates for the team strengths and predictions for the scores of the future games. Additionally, if the Gaussianity assumption holds, the predictions given by the Kalman filter maximize the likelihood of the observed scores. The team ratings allow probabilistic inference about the ranking of the teams and their relative strengths as well as about the teams’ winning probabilities in future games. The predictions about the winners of the games are correct 65-70% of the time. The team ratings explain 16% of the random variation observed in the game scores. Furthermore, the winning probabilities given by the model are concurrent with the observed scores. The state-space model includes four independent parameters that involve the variances of noise terms and the home court advantage observed in the scores. The Thesis presents the estimation of these parameters using the maximum likelihood method as well as using other techniques. The Thesis also gives various example analyses related to the American professional basketball league, i.e., National Basketball Association (NBA), and regular seasons played in year 2005 through 2010. Additionally, the season 2009-2010 is discussed in full detail, including the playoffs.

Methods and applications for improving parameter prediction models for stand structures in Finland

This thesis report attempts to improve the models for predicting forest stand structure for practical use, e.g. forest management planning (FMP) purposes in Finland. Comparisons were made between Weibull and Johnson s SB distribution and alternative regression estimation methods. Data used for preliminary studies was local but the final models were based on representative data. Models were validated mainly in terms of bias and RMSE in the main stand characteristics (e.g. volume) using independent data. The bivariate SBB distribution model was used to mimic realistic variations in tree dimensions by including within-diameter-class height variation. Using the traditional method, diameter distribution with the expected height resulted in reduced height variation, whereas the alternative bivariate method utilized the error-term of the height model. The lack of models for FMP was covered to some extent by the models for peatland and juvenile stands. The validation of these models showed that the more sophisticated regression estimation methods provided slightly improved accuracy. A flexible prediction and application for stand structure consisted of seemingly unrelated regression models for eight stand characteristics, the parameters of three optional distributions and Näslund s height curve. The cross-model covariance structure was used for linear prediction application, in which the expected values of the models were calibrated with the known stand characteristics. This provided a framework to validate the optional distributions and the optional set of stand characteristics. Height distribution is recommended for the earliest state of stands because of its continuous feature. From the mean height of about 4 m, Weibull dbh-frequency distribution is recommended in young stands if the input variables consist of arithmetic stand characteristics. In advanced stands, basal area-dbh distribution models are recommended. Näslund s height curve proved useful. Some efficient transformations of stand characteristics are introduced, e.g. the shape index, which combined the basal area, the stem number and the median diameter. Shape index enabled SB model for peatland stands to detect large variation in stand densities. This model also demonstrated reasonable behaviour for stands in mineral soils.