The concept of exchangeability in ensemble forecasting

A set of random variables is exchangeable if its joint distribution function is invariant under permutation of the arguments. The concept of exchangeability is discussed, with a view towards potential application in evaluating ensemble forecasts. It is argued that the paradigm of ensembles being an independent draw from an underlying distribution function is probably too narrow; allowing ensemble members to be merely exchangeable might be a more versatile model. The question is discussed whether established methods of ensemble evaluation need alteration under this model, with reliability being given particular attention. It turns out that the standard methodology of rank histograms can still be applied. As a first application of the exchangeability concept, it is shown that the method of minimum spanning trees to evaluate the reliability of high dimensional ensembles is mathematically sound.

Climate spectrum estimation in the presence of timescale errors.

We introduce an algorithm (called REDFITmc2) for spectrum estimation in the presence of timescale errors. It is based on the Lomb-Scargle periodogram for unevenly spaced time series, in combination with the Welch's Overlapped Segment Averaging procedure, bootstrap bias correction and persistence estimation. The timescale errors are modelled parametrically and included in the simulations for determining (1) the upper levels of the spectrum of the red-noise AR(1) alternative and (2) the uncertainty of the frequency of a spectral peak. Application of REDFITmc2 to ice core and stalagmite records of palaeoclimate allowed a more realistic evaluation of spectral peaks than when ignoring this source of uncertainty. The results support qualitatively the intuition that stronger effects on the spectrum estimate (decreased detectability and increased frequency uncertainty) occur for higher frequencies. The surplus information brought by algorithm REDFITmc2 is that those effects are quantified. Regarding timescale construction, not only the fixpoints, dating errors and the functional form of the age-depth model play a role. Also the joint distribution of all time points (serial correlation, stratigraphic order) determines spectrum estimation.

Challenges in quantifying wind generation's contribution to securing peak demand

Wind generation's contribution to supporting peak electricity demand is one of the key questions in wind integration studies. Differently from conventional units, the available outputs of different wind farms cannot be approximated as being statistically independent, and hence near-zero wind output is possible across an entire power system. This paper will review the risk model structures currently used to assess wind's capacity value, along with discussion of the resulting data requirements. A central theme is the benefits from performing statistical estimation of the joint distribution for demand and available wind capacity, focusing attention on uncertainties due to limited histories of wind and demand data; examination of Great Britain data from the last 25 years shows that the data requirements are greater than generally thought. A discussion is therefore presented into how analysis of the types of weather system which have historically driven extreme electricity demands can help to deliver robust insights into wind's contribution to supporting demand, even in the face of such data limitations. The role of the form of the probability distribution for available conventional capacity in driving wind capacity credit results is also discussed.

Mass and size distribution measurement of particulates from a gas turbine combustor using modern mobility analyzer and particle sizer

SMPS and DMS500 analysers were used to measure particulate size distributions in the exhaust of a fully annular aero gas turbine engine at two operating conditions to compare and analyse sources of discrepancy. A number of different dilution ratio values were utilised for the comparative analysis, and a Dekati hot diluter operating at a temperature of 623°K was also utilised to remove volatile PM prior to measurements being made. Additional work focused on observing the effect of varying the sample line temperatures to ascertain the impact. Explanations are offered for most of the trends observed, although a new, repeatable event identified in the range from 417°K to 423°K – where there was a three order of magnitude increase in the nucleation mode of the sample – requires further study.

Joint effects of population density and toxicant exposure on population dynamics of Capitella sp I

Very few studies have analyzed the dependence of population growth rate on population density, and even fewer have considered interaction effects of density and other stresses, such as exposure to toxic chemicals. Yet without such studies we cannot know whether chemicals harmful at low density have effects on carrying capacity or, conversely, whether chemicals reducing carrying capacity are also harmful at low density, impeding a population's capacity to recover from disturbance. This study examines the combined effects of population density and a toxicant (fluoranthene) on population growth rate (pgr) and carrying capacity using the deposit-feeding polychaete Capitella sp. I as a test organism. Populations were initiated with a stable age distribution, and population density and age/size distribution were followed during a period of 28 wk. Fluoranthene (FLU), population density, and their interaction influenced population growth rate. Population growth rate declined linearly with the logarithm of population biomass, but the slope of the relationship was steeper for the control populations than for populations exposed to 50 mug FLU/(g sediment dry mass). Populations exposed to 150 mug FLU/(g sediment dry mass) went extinct after 8 wk of exposure. Despite concerns that toxicant effects would be exacerbated at high density, we found the reverse to be the case, and effects of fluoranthene on population growth rate were much reduced in the region of carrying capacity. Fluoranthene did. reduce carrying capacity by 46%, and this could haven important implications for interacting species and/or sediment biogeochemical processes.

Diversification when it hurts? The joint distributions of real estate and equity markets

Much of the literature on the construction of mixed asset portfolios and the case for property as a risk diversifier rests on correlations measured over the whole of a given time series. Recent developments in finance, however, focuses on dependence in the tails of the distribution. Does property offer diversification from equity markets when it is most needed - when equity returns are poor. The paper uses an empirical copula approach to test tail dependence between property and equity for the UK and for a global portfolio. Results show strong tail dependence: in the UK, the dependence in the lower tail is stronger than in the upper tail, casting doubt on the defensive properties of real estate stocks.

Gaussian anamorphosis in the analysis step of the EnKF: a joint state-variable/observation approach

The analysis step of the (ensemble) Kalman filter is optimal when (1) the distribution of the background is Gaussian, (2) state variables and observations are related via a linear operator, and (3) the observational error is of additive nature and has Gaussian distribution. When these conditions are largely violated, a pre-processing step known as Gaussian anamorphosis (GA) can be applied. The objective of this procedure is to obtain state variables and observations that better fulfil the Gaussianity conditions in some sense. In this work we analyse GA from a joint perspective, paying attention to the effects of transformations in the joint state variable/observation space. First, we study transformations for state variables and observations that are independent from each other. Then, we introduce a targeted joint transformation with the objective to obtain joint Gaussianity in the transformed space. We focus primarily in the univariate case, and briefly comment on the multivariate one. A key point of this paper is that, when (1)-(3) are violated, using the analysis step of the EnKF will not recover the exact posterior density in spite of any transformations one may perform. These transformations, however, provide approximations of different quality to the Bayesian solution of the problem. Using an example in which the Bayesian posterior can be analytically computed, we assess the quality of the analysis distributions generated after applying the EnKF analysis step in conjunction with different GA options. The value of the targeted joint transformation is particularly clear for the case when the prior is Gaussian, the marginal density for the observations is close to Gaussian, and the likelihood is a Gaussian mixture.