194 resultados para mean-variance frontiers
Resumo:
We consider the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Recent theoretical results show that certain popular criteria are consistent in that they will select the true model asymptotically with probability 1. To examine the empirical relevance of this property, Monte Carlo simulations are conducted for a set of non–nested data generating processes (DGPs) with the set of candidate models consisting of all types of model used as DGPs. In addition, not only is the best model considered but also those with similar values of the information criterion, called close competitors, thus forming a portfolio of eligible models. To supplement the simulations, the criteria are applied to a set of economic and financial series. In the simulations, the criteria are largely ineffective at identifying the correct model, either as best or a close competitor, the parsimonious GARCH(1, 1) model being preferred for most DGPs. In contrast, asymmetric models are generally selected to represent actual data. This leads to the conjecture that the properties of parameterizations of processes commonly used to model heteroscedastic data are more similar than may be imagined and that more attention needs to be paid to the behaviour of the standardized disturbances of such models, both in simulation exercises and in empirical modelling.
Resumo:
The Crusades in the Near East, eastern Baltic and Iberian Peninsula (in the context of the Reconquest/reconquista) were accompanied by processes of colonisation, characterising the expansion of medieval Europe and resulting in the creation of frontier societies at the fringes of Christendom. Colonisation was closely associated with — indeed, depended on — the exploitation of local environments, but this dimension is largely missing from studies of the crusading frontiers. This paper, the product of a European Science Foundation Exploratory Workshop on 'The Ecology of Crusading' in 2009, surveys the potential for investigating the environmental impact of the crusading movement in all three frontier regions. It considers a diverse range of archaeological, palaeoenvironmental and written sources, with the aim of situating the societies created by the Crusades within the context of medieval colonisation and human ecological niche construction. It demonstrates that an abundant range of data exists for developing this largely neglected and disparately studied aspect of medieval frontier societies into a significant research programme.
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We bridge the properties of the regular triangular, square, and hexagonal honeycomb Voronoi tessellations of the plane to the Poisson-Voronoi case, thus analyzing in a common framework symmetry breaking processes and the approach to uniform random distributions of tessellation-generating points. We resort to ensemble simulations of tessellations generated by points whose regular positions are perturbed through a Gaussian noise, whose variance is given by the parameter α2 times the square of the inverse of the average density of points. We analyze the number of sides, the area, and the perimeter of the Voronoi cells. For all valuesα >0, hexagons constitute the most common class of cells, and 2-parameter gamma distributions provide an efficient description of the statistical properties of the analyzed geometrical characteristics. The introduction of noise destroys the triangular and square tessellations, which are structurally unstable, as their topological properties are discontinuous in α = 0. On the contrary, the honeycomb hexagonal tessellation is topologically stable and, experimentally, all Voronoi cells are hexagonal for small but finite noise withα <0.12. For all tessellations and for small values of α, we observe a linear dependence on α of the ensemble mean of the standard deviation of the area and perimeter of the cells. Already for a moderate amount of Gaussian noise (α >0.5), memory of the specific initial unperturbed state is lost, because the statistical properties of the three perturbed regular tessellations are indistinguishable. When α >2, results converge to those of Poisson-Voronoi tessellations. The geometrical properties of n-sided cells change with α until the Poisson- Voronoi limit is reached for α > 2; in this limit the Desch law for perimeters is shown to be not valid and a square root dependence on n is established. This law allows for an easy link to the Lewis law for areas and agrees with exact asymptotic results. Finally, for α >1, the ensemble mean of the cells area and perimeter restricted to the hexagonal cells agree remarkably well with the full ensemble mean; this reinforces the idea that hexagons, beyond their ubiquitous numerical prominence, can be interpreted as typical polygons in 2D Voronoi tessellations.
Resumo:
ABSTRACT Non-Gaussian/non-linear data assimilation is becoming an increasingly important area of research in the Geosciences as the resolution and non-linearity of models are increased and more and more non-linear observation operators are being used. In this study, we look at the effect of relaxing the assumption of a Gaussian prior on the impact of observations within the data assimilation system. Three different measures of observation impact are studied: the sensitivity of the posterior mean to the observations, mutual information and relative entropy. The sensitivity of the posterior mean is derived analytically when the prior is modelled by a simplified Gaussian mixture and the observation errors are Gaussian. It is found that the sensitivity is a strong function of the value of the observation and proportional to the posterior variance. Similarly, relative entropy is found to be a strong function of the value of the observation. However, the errors in estimating these two measures using a Gaussian approximation to the prior can differ significantly. This hampers conclusions about the effect of the non-Gaussian prior on observation impact. Mutual information does not depend on the value of the observation and is seen to be close to its Gaussian approximation. These findings are illustrated with the particle filter applied to the Lorenz ’63 system. This article is concluded with a discussion of the appropriateness of these measures of observation impact for different situations.
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Metrics are often used to compare the climate impacts of emissions from various sources, sectors or nations. These are usually based on global-mean input, and so there is the potential that important information on smaller scales is lost. Assuming a non-linear dependence of the climate impact on local surface temperature change, we explore the loss of information about regional variability that results from using global-mean input in the specific case of heterogeneous changes in ozone, methane and aerosol concentrations resulting from emissions from road traffic, aviation and shipping. Results from equilibrium simulations with two general circulation models are used. An alternative metric for capturing the regional climate impacts is investigated. We find that the application of a metric that is first calculated locally and then averaged globally captures a more complete and informative signal of climate impact than one that uses global-mean input. The loss of information when heterogeneity is ignored is largest in the case of aviation. Further investigation of the spatial distribution of temperature change indicates that although the pattern of temperature response does not closely match the pattern of the forcing, the forcing pattern still influences the response pattern on a hemispheric scale. When the short-lived transport forcing is superimposed on present-day anthropogenic CO2 forcing, the heterogeneity in the temperature response to CO2 dominates. This suggests that the importance of including regional climate impacts in global metrics depends on whether small sectors are considered in isolation or as part of the overall climate change.
Resumo:
The characteristics of the boundary layer separating a turbulence region from an irrotational (or non-turbulent) flow region are investigated using rapid distortion theory (RDT). The turbulence region is approximated as homogeneous and isotropic far away from the bounding turbulent/non-turbulent (T/NT) interface, which is assumed to remain approximately flat. Inviscid effects resulting from the continuity of the normal velocity and pressure at the interface, in addition to viscous effects resulting from the continuity of the tangential velocity and shear stress, are taken into account by considering a sudden insertion of the T/NT interface, in the absence of mean shear. Profiles of the velocity variances, turbulent kinetic energy (TKE), viscous dissipation rate (epsilon), turbulence length scales, and pressure statistics are derived, showing an excellent agreement with results from direct numerical simulations (DNS). Interestingly, the normalized inviscid flow statistics at the T/NT interface do not depend on the form of the assumed TKE spectrum. Outside the turbulent region, where the flow is irrotational (except inside a thin viscous boundary layer), epsilon decays as z^{-6}, where z is the distance from the T/NT interface. The mean pressure distribution is calculated using RDT, and exhibits a decrease towards the turbulence region due to the associated velocity fluctuations, consistent with the generation of a mean entrainment velocity. The vorticity variance and epsilon display large maxima at the T/NT interface due to the inviscid discontinuities of the tangential velocity variances existing there, and these maxima are quantitatively related to the thickness delta of the viscous boundary layer (VBL). For an equilibrium VBL, the RDT analysis suggests that delta ~ eta (where eta is the Kolmogorov microscale), which is consistent with the scaling law identified in a very recent DNS study for shear-free T/NT interfaces.
Resumo:
The extra-tropical response to El Niño in configurations of a coupled model with increased horizontal resolution in the oceanic component is shown to be more realistic than in configurations with a low resolution oceanic component. This general conclusion is independent of the atmospheric resolution. Resolving small-scale processes in the ocean produces a more realistic oceanic mean state, with a reduced cold tongue bias, which in turn allows the atmospheric model component to be forced more realistically. A realistic atmospheric basic state is critical in order to represent Rossby wave propagation in response to El Niño, and hence the extra-tropical response to El Niño. Through the use of high and low resolution configurations of the forced atmospheric-only model component we show that, in isolation, atmospheric resolution does not significantly affect the simulation of the extra-tropical response to El Niño. It is demonstrated, through perturbations to the SST forcing of the atmospheric model component, that biases in the climatological SST field typical of coupled model configurations with low oceanic resolution can account for the erroneous atmospheric basic state seen in these coupled model configurations. These results highlight the importance of resolving small-scale oceanic processes in producing a realistic large-scale mean climate in coupled models, and suggest that it might may be possible to “squeeze out” valuable extra performance from coupled models through increases to oceanic resolution alone.
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Matei et al. (Reports, 6 January 2012, p. 76) claim to show skillful multiyear predictions of the Atlantic Meridional Overturning Circulation (AMOC). However, these claims are not justified, primarily because the predictions of AMOC transport do not outperform simple reference forecasts based on climatological annual cycles. Accordingly, there is no justification for the “confident” prediction of a stable AMOC through 2014.
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We investigate the super-Brownian motion with a single point source in dimensions 2 and 3 as constructed by Fleischmann and Mueller in 2004. Using analytic facts we derive the long time behavior of the mean in dimension 2 and 3 thereby complementing previous work of Fleischmann, Mueller and Vogt. Using spectral theory and martingale arguments we prove a version of the strong law of large numbers for the two dimensional superprocess with a single point source and finite variance.
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Systematic climate shifts have been linked to multidecadal variability in observed sea surface temperatures in the North Atlantic Ocean1. These links are extensive, influencing a range of climate processes such as hurricane activity2 and African Sahel3, 4, 5 and Amazonian5 droughts. The variability is distinct from historical global-mean temperature changes and is commonly attributed to natural ocean oscillations6, 7, 8, 9, 10. A number of studies have provided evidence that aerosols can influence long-term changes in sea surface temperatures11, 12, but climate models have so far failed to reproduce these interactions6, 9 and the role of aerosols in decadal variability remains unclear. Here we use a state-of-the-art Earth system climate model to show that aerosol emissions and periods of volcanic activity explain 76 per cent of the simulated multidecadal variance in detrended 1860–2005 North Atlantic sea surface temperatures. After 1950, simulated variability is within observational estimates; our estimates for 1910–1940 capture twice the warming of previous generation models but do not explain the entire observed trend. Other processes, such as ocean circulation, may also have contributed to variability in the early twentieth century. Mechanistically, we find that inclusion of aerosol–cloud microphysical effects, which were included in few previous multimodel ensembles, dominates the magnitude (80 per cent) and the spatial pattern of the total surface aerosol forcing in the North Atlantic. Our findings suggest that anthropogenic aerosol emissions influenced a range of societally important historical climate events such as peaks in hurricane activity and Sahel drought. Decadal-scale model predictions of regional Atlantic climate will probably be improved by incorporating aerosol–cloud microphysical interactions and estimates of future concentrations of aerosols, emissions of which are directly addressable by policy actions.
Resumo:
A favoured method of assimilating information from state-of-the-art climate models into integrated assessment models of climate impacts is to use the transient climate response (TCR) of the climate models as an input, sometimes accompanied by a pattern matching approach to provide spatial information. More recent approaches to the problem use TCR with another independent piece of climate model output: the land-sea surface warming ratio (φ). In this paper we show why the use of φ in addition to TCR has such utility. Multiple linear regressions of surface temperature change onto TCR and φ in 22 climate models from the CMIP3 multi-model database show that the inclusion of φ explains a much greater fraction of the inter-model variance than using TCR alone. The improvement is particularly pronounced in North America and Eurasia in the boreal summer season, and in the Amazon all year round. The use of φ as the second metric is beneficial for three reasons: firstly it is uncorrelated with TCR in state-of-the-art climate models and can therefore be considered as an independent metric; secondly, because of its projected time-invariance, the magnitude of φ is better constrained than TCR in the immediate future; thirdly, the use of two variables is much simpler than approaches such as pattern scaling from climate models. Finally we show how using the latest estimates of φ from climate models with a mean value of 1.6—as opposed to previously reported values of 1.4—can significantly increase the mean time-integrated discounted damage projections in a state-of-the-art integrated assessment model by about 15 %. When compared to damages calculated without the inclusion of the land-sea warming ratio, this figure rises to 65 %, equivalent to almost 200 trillion dollars over 200 years.