Benchmarks and the accuracy of GARCH model estimation

This paper reviews nine software packages with particular reference to their GARCH model estimation accuracy when judged against a respected benchmark. We consider the numerical consistency of GARCH and EGARCH estimation and forecasting. Our results have a number of implications for published research and future software development. Finally, we argue that the establishment of benchmarks for other standard non-linear models is long overdue.

Impact of non-hydrostatic effects and trapped lee waves on mountain wave drag in directionally sheared flow

The orographic gravity wave drag produced in flow over an axisymmetric mountain when both vertical wind shear and non-hydrostatic effects are important was calculated using a semi-analytical two-layer linear model, including unidirectional or directional constant wind shear in a layer near the surface, above which the wind is constant. The drag behaviour is determined by partial wave reflection at the shear discontinuity, wave absorption at critical levels (both of which exist in hydrostatic flow), and total wave reflection at levels where the waves become evanescent (an intrinsically non-hydrostatic effect), which produces resonant trapped lee wave modes. As a result of constructive or destructive wave interference, the drag oscillates with the thickness of the constant-shear layer and the Richardson number within it (Ri), generally decreasing at low Ri and when the flow is strongly non-hydrostatic. Critical level absorption, which increases with the angle spanned by the wind velocity in the constant-shear layer, shields the surface from reflected waves, keeping the drag closer to its hydrostatic limit. While, for the parameter range considered here, the drag seldom exceeds this limit, a substantial drag fraction may be produced by trapped lee waves, particularly when the flow is strongly non-hydrostatic, the lower layer is thick and Ri is relatively high. In directionally sheared flows with Ri = O(1), the drag may be misaligned with the surface wind in a direction opposite to the shear, a behaviour which is totally due to non-trapped waves. The trapped lee wave drag, whose reaction force on the atmosphere is felt at low levels, may therefore have a distinctly different direction from the drag associated with vertically propagating waves, which acts on the atmosphere at higher levels.

Understanding the processes governing climate variability and change, climate predictability and the probability of extreme events

The purpose of Research Theme 4 (RT4) was to advance understanding of the basic science issues at the heart of the ENSEMBLES project, focusing on the key processes that govern climate variability and change, and that determine the predictability of climate. Particular attention was given to understanding linear and non-linear feedbacks that may lead to climate surprises,and to understanding the factors that govern the probability of extreme events. Improved understanding of these issues will contribute significantly to the quantification and reduction of uncertainty in seasonal to decadal predictions and projections of climate change. RT4 exploited the ENSEMBLES integrations (stream 1) performed in RT2A as well as undertaking its own experimentation to explore key processes within the climate system. It was working at the cutting edge of problems related to climate feedbacks, the interaction between climate variability and climate change � especially how climate change pertains to extreme events, and the predictability of the climate system on a range of time-scales. The statisticalmethodologies developed for extreme event analysis are new and state-of-the-art. The RT4-coordinated experiments, which have been conducted with six different atmospheric GCMs forced by common timeinvariant sea surface temperature (SST) and sea-ice fields (removing some sources of inter-model variability), are designed to help to understand model uncertainty (rather than scenario or initial condition uncertainty) in predictions of the response to greenhouse-gas-induced warming. RT4 links strongly with RT5 on the evaluation of the ENSEMBLES prediction system and feeds back its results to RT1 to guide improvements in the Earth system models and, through its research on predictability, to steer the development of methods for initialising the ensembles

The role of mean ocean salinity in climate

We describe numerical simulations designed to elucidate the role of mean ocean salinity in climate. Using a coupled atmosphere-ocean general circulation model, we study a 100-year sensitivity experiment in which the global-mean salinity is approximately doubled from its present observed value, by adding 35 psu everywhere in the ocean. The salinity increase produces a rapid global-mean sea-surface warming of C within a few years, caused by reduced vertical mixing associated with changes in cabbeling. The warming is followed by a gradual global-mean sea-surface cooling of C within a few decades, caused by an increase in the vertical (downward) component of the isopycnal diffusive heat flux. We find no evidence of impacts on the variability of the thermohaline circulation (THC) or El Niño/Southern Oscillation (ENSO). The mean strength of the Atlantic meridional overturning is reduced by 20% and the North Atlantic Deep Water penetrates less deeply. Nevertheless, our results dispute claims that higher salinities for the world ocean have profound consequences for the thermohaline circulation. In additional experiments with doubled atmospheric carbon dioxide, we find that the amplitude and spatial pattern of the global warming signal are modified in the hypersaline ocean. In particular, the equilibrated global-mean sea-surface temperature increase caused by doubling carbon dioxide is reduced by 10%. We infer the existence of a non-linear interaction between the climate responses to modified carbon dioxide and modified salinity.

A comparison of two methods for developing the linearization of a shallow-water model

We develop the linearization of a semi-implicit semi-Lagrangian model of the one-dimensional shallow-water equations using two different methods. The usual tangent linear model, formed by linearizing the discrete nonlinear model, is compared with a model formed by first linearizing the continuous nonlinear equations and then discretizing. Both models are shown to perform equally well for finite perturbations. However, the asymptotic behaviour of the two models differs as the perturbation size is reduced. This leads to difficulties in showing that the models are correctly coded using the standard tests. To overcome this difficulty we propose a new method for testing linear models, which we demonstrate both theoretically and numerically. © Crown copyright, 2003. Royal Meteorological Society

Effects of fluctuating daily surface fluxes on the time-mean oceanic circulation

The effect of fluctuating daily surface fluxes on the time-mean oceanic circulation is studied using an empirical flux model. The model produces fluctuating fluxes resulting from atmospheric variability and includes oceanic feedbacks on the fluxes. Numerical experiments were carried out by driving an ocean general circulation model with three different versions of the empirical model. It is found that fluctuating daily fluxes lead to an increase in the meridional overturning circulation (MOC) of the Atlantic of about 1 Sv and a decrease in the Antarctic circumpolar current (ACC) of about 32 Sv. The changes are approximately 7% of the MOC and 16% of the ACC obtained without fluctuating daily fluxes. The fluctuating fluxes change the intensity and the depth of vertical mixing. This, in turn, changes the density field and thus the circulation. Fluctuating buoyancy fluxes change the vertical mixing in a non-linear way: they tend to increase the convective mixing in mostly stable regions and to decrease the convective mixing in mostly unstable regions. The ACC changes are related to the enhanced mixing in the subtropical and the mid-latitude Southern Ocean and reduced mixing in the high-latitude Southern Ocean. The enhanced mixing is related to an increase in the frequency and the depth of convective events. As these events bring more dense water downward, the mixing changes lead to a reduction in meridional gradient of the depth-integrated density in the Southern Ocean and hence the strength of the ACC. The MOC changes are related to more subtle density changes. It is found that the vertical mixing in a latitudinal strip in the northern North Atlantic is more strongly enhanced due to fluctuating fluxes than the mixing in a latitudinal strip in the South Atlantic. This leads to an increase in the density difference between the two strips, which can be responsible for the increase in the Atlantic MOC.

Biogenic nitric oxide emissions from soils: impact on NOx and ozone over West Africa during AMMA (African Monsoon Multidisciplinary Analysis) - Modelling study

Nitrogen oxide biogenic emissions from soils are driven by soil and environmental parameters. The relationship between these parameters and NO fluxes is highly non linear. A new algorithm, based on a neural network calculation, is used to reproduce the NO biogenic emissions linked to precipitations in the Sahel on the 6 August 2006 during the AMMA campaign. This algorithm has been coupled in the surface scheme of a coupled chemistry dynamics model (MesoNH Chemistry) to estimate the impact of the NO emissions on NOx and O3 formation in the lower troposphere for this particular episode. Four different simulations on the same domain and at the same period are compared: one with anthropogenic emissions only, one with soil NO emissions from a static inventory, at low time and space resolution, one with NO emissions from neural network, and one with NO from neural network plus lightning NOx. The influence of NOx from lightning is limited to the upper troposphere. The NO emission from soils calculated with neural network responds to changes in soil moisture giving enhanced emissions over the wetted soil, as observed by aircraft measurements after the passing of a convective system. The subsequent enhancement of NOx and ozone is limited to the lowest layers of the atmosphere in modelling, whereas measurements show higher concentrations above 1000 m. The neural network algorithm, applied in the Sahel region for one particular day of the wet season, allows an immediate response of fluxes to environmental parameters, unlike static emission inventories. Stewart et al (2008) is a companion paper to this one which looks at NOx and ozone concentrations in the boundary layer as measured on a research aircraft, examines how they vary with respect to the soil moisture, as indicated by surface temperature anomalies, and deduces NOx fluxes. In this current paper the model-derived results are compared to the observations and calculated fluxes presented by Stewart et al (2008).

Effectiveness of landmark analysis for establishing locality in p2p networks

Locality to other nodes on a peer-to-peer overlay network can be established by means of a set of landmarks shared among the participating nodes. Each node independently collects a set of latency measures to landmark nodes, which are used as a multi-dimensional feature vector. Each peer node uses the feature vector to generate a unique scalar index which is correlated to its topological locality. A popular dimensionality reduction technique is the space filling Hilbert’s curve, as it possesses good locality preserving properties. However, there exists little comparison between Hilbert’s curve and other techniques for dimensionality reduction. This work carries out a quantitative analysis of their properties. Linear and non-linear techniques for scaling the landmark vectors to a single dimension are investigated. Hilbert’s curve, Sammon’s mapping and Principal Component Analysis have been used to generate a 1d space with locality preserving properties. This work provides empirical evidence to support the use of Hilbert’s curve in the context of locality preservation when generating peer identifiers by means of landmark vector analysis. A comparative analysis is carried out with an artificial 2d network model and with a realistic network topology model with a typical power-law distribution of node connectivity in the Internet. Nearest neighbour analysis confirms Hilbert’s curve to be very effective in both artificial and realistic network topologies. Nevertheless, the results in the realistic network model show that there is scope for improvements and better techniques to preserve locality information are required.

Redundant coordinates in harmonic force-field calculations

Redundancy relations between vibrational coordinates may be linear (as for rectilinear coordinates used in deriving a G matrix), or non-linear (as for curvilinear coordinates used in formulating model force fields). It is shown that geometrically defined internal coordinates are necessarily curvilinear. Hence it is shown that linear force constants can occur in model force field calculations involving redundant coordinates, in disagreement with the recent proposal of Gussoni and Zerbi.

Statistical downscaling of river flows

An extensive statistical ‘downscaling’ study is done to relate large-scale climate information from a general circulation model (GCM) to local-scale river flows in SW France for 51 gauging stations ranging from nival (snow-dominated) to pluvial (rainfall-dominated) river-systems. This study helps to select the appropriate statistical method at a given spatial and temporal scale to downscale hydrology for future climate change impact assessment of hydrological resources. The four proposed statistical downscaling models use large-scale predictors (derived from climate model outputs or reanalysis data) that characterize precipitation and evaporation processes in the hydrological cycle to estimate summary flow statistics. The four statistical models used are generalized linear (GLM) and additive (GAM) models, aggregated boosted trees (ABT) and multi-layer perceptron neural networks (ANN). These four models were each applied at two different spatial scales, namely at that of a single flow-gauging station (local downscaling) and that of a group of flow-gauging stations having the same hydrological behaviour (regional downscaling). For each statistical model and each spatial resolution, three temporal resolutions were considered, namely the daily mean flows, the summary statistics of fortnightly flows and a daily ‘integrated approach’. The results show that flow sensitivity to atmospheric factors is significantly different between nival and pluvial hydrological systems which are mainly influenced, respectively, by shortwave solar radiations and atmospheric temperature. The non-linear models (i.e. GAM, ABT and ANN) performed better than the linear GLM when simulating fortnightly flow percentiles. The aggregated boosted trees method showed higher and less variable R2 values to downscale the hydrological variability in both nival and pluvial regimes. Based on GCM cnrm-cm3 and scenarios A2 and A1B, future relative changes of fortnightly median flows were projected based on the regional downscaling approach. The results suggest a global decrease of flow in both pluvial and nival regimes, especially in spring, summer and autumn, whatever the considered scenario. The discussion considers the performance of each statistical method for downscaling flow at different spatial and temporal scales as well as the relationship between atmospheric processes and flow variability.

Estimation of the stoichiometry of volatile fatty acid production in the rumen of lactating cows

The purpose of this study was to improve the prediction of the quantity and type of Volatile Fatty Acids (VFA) produced from fermented substrate in the rumen of lactating cows. A model was formulated that describes the conversion of substrate (soluble carbohydrates, starch, hemi-cellulose, cellulose, and protein) into VFA (acetate, propionate, butyrate, and other VFA). Inputs to the model were observed rates of true rumen digestion of substrates, whereas outputs were observed molar proportions of VFA in rumen fluid. A literature survey generated data of 182 diets (96 roughage and 86 concentrate diets). Coefficient values that define the conversion of a specific substrate into VFA were estimated meta-analytically by regression of the model against observed VFA molar proportions using non-linear regression techniques. Coefficient estimates significantly differed for acetate and propionate production in particular, between different types of substrate and between roughage and concentrate diets. Deviations of fitted from observed VFA molar proportions could be attributed to random error for 100%. In addition to regression against observed data, simulation studies were performed to investigate the potential of the estimation method. Fitted coefficient estimates from simulated data sets appeared accurate, as well as fitted rates of VFA production, although the model accounted for only a small fraction (maximally 45%) of the variation in VFA molar proportions. The simulation results showed that the latter result was merely a consequence of the statistical analysis chosen and should not be interpreted as an indication of inaccuracy of coefficient estimates. Deviations between fitted and observed values corresponded to those obtained in simulations. (c) 2005 Elsevier Ltd. All rights reserved.

Some factors affecting reproductive success in crossbred dairy cows on smallholder farms in coastal north-east Tanzania

A 2-year longitudinal survey was carried out to investigate factors affecting reproduction in crossbred cows on smallholder farms in and around an urban centre. Sixty farms were visited at approximately 2-week intervals and details of reproductive traits and body condition score (BCS) were collected. Fifteen farms were within the town (U), 23 farms were approximately 5 km from town (SU), and 22 farms approximately 10 km from town (PU). Sources of variation in reproductive traits were investigated using a general linear model (GLM) by a stepwise forward selection and backward elimination approach to judge important independent variables. Factors considered for the first step of formulation of the model included location (PU, SU and U), type of insemination, calving season, BCS at calving, at 3 months postpartum and at 6 months postpartum, calving year, herd size category, source of labour (hired and family labour), calf rearing method (bucket and partial suckling) and parity number of the cow. The effects of the independent variables identified were then investigated using a non-parametric survival technique. The number of days to first oestrus was increased on the U site (p = 0.045) and when family labour was used (p = 0.02). The non-parametric test confirmed the effect of site (p = 0.059), but effect of labour was not significant. The number of days from calving to conception was reduced by hiring labour (p = 0.003) and using natural service (p = 0.028). The non-parametric test confirmed the effects of type of insemination (p = 0.0001) while also identifying extended calving intervals on U and SU sites (p = 0.014). Labour source was again non-significant. Calving interval was prolonged on U and SU sites (p = 0.021), by the use of AI (p = 0.031) and by the use of family labour (p = 0.001). The non-parametric test confirmed the effect of site (p = 0.008) and insemination type (p > 0.0001) but not of labour source. It was concluded that under favourable conditions (PU site, hired labour and natural service) calving intervals of around 440 days could be achieved.

Aggregation of parasitism risk in an aphid-parasitoid system: Effects of plant patch size and aphid density

Few studies have linked density dependence of parasitism and the tritrophic environment within which a parasitoid forages. In the non-crop plant-aphid, Centaurea nigra-Uroleucon jaceae system, mixed patterns of density-dependent parasitism by the parasitoids Aphidius funebris and Trioxys centaureae were observed in a survey of a natural population. Breakdown of density-dependent parasitism revealed that density dependence was inverse in smaller colonies but direct in large colonies (>20 aphids), suggesting there is a threshold effect in parasitoid response to aphid density. The CV2 of searching parasitoids was estimated from parasitism data using a hierarchical generalized linear model, and CV2>1 for A. funebris between plant patches, while for T. centaureae CV2>1 within plant patches. In both cases, density independent heterogeneity was more important than density-dependent heterogeneity in parasitism. Parasitism by T. centaureae increased with increasing plant patch size. Manipulation of aphid colony size and plant patch size revealed that parasitism by A. funebris was directly density dependent at the range of colony sizes tested (50-200 initial aphids), and had a strong positive relationship with plant patch size. The effects of plant patch size detected for both species indicate that the tritrophic environment provides a source of host density independent heterogeneity in parasitism, and can modify density-dependent responses. (c) 2007 Gessellschaft fur Okologie. Published by Elsevier GmbH. All rights reserved.

Statistical design and analysis of pharmacogenetic trials

Pharmacogenetic trials investigate the effect of genotype on treatment response. When there are two or more treatment groups and two or more genetic groups, investigation of gene-treatment interactions is of key interest. However, calculation of the power to detect such interactions is complicated because this depends not only on the treatment effect size within each genetic group, but also on the number of genetic groups, the size of each genetic group, and the type of genetic effect that is both present and tested for. The scale chosen to measure the magnitude of an interaction can also be problematic, especially for the binary case. Elston et al. proposed a test for detecting the presence of gene-treatment interactions for binary responses, and gave appropriate power calculations. This paper shows how the same approach can also be used for normally distributed responses. We also propose a method for analysing and performing sample size calculations based on a generalized linear model (GLM) approach. The power of the Elston et al. and GLM approaches are compared for the binary and normal case using several illustrative examples. While more sensitive to errors in model specification than the Elston et al. approach, the GLM approach is much more flexible and in many cases more powerful. Copyright © 2005 John Wiley & Sons, Ltd.

Describing long-term trends in precipitation using generalized additive models

With the current concern over climate change, descriptions of how rainfall patterns are changing over time can be useful. Observations of daily rainfall data over the last few decades provide information on these trends. Generalized linear models are typically used to model patterns in the occurrence and intensity of rainfall. These models describe rainfall patterns for an average year but are more limited when describing long-term trends, particularly when these are potentially non-linear. Generalized additive models (GAMS) provide a framework for modelling non-linear relationships by fitting smooth functions to the data. This paper describes how GAMS can extend the flexibility of models to describe seasonal patterns and long-term trends in the occurrence and intensity of daily rainfall using data from Mauritius from 1962 to 2001. Smoothed estimates from the models provide useful graphical descriptions of changing rainfall patterns over the last 40 years at this location. GAMS are particularly helpful when exploring non-linear relationships in the data. Care is needed to ensure the choice of smooth functions is appropriate for the data and modelling objectives. (c) 2008 Elsevier B.V. All rights reserved.