A singular vector perspective of 4D-Var: Filtering and interpolation

Four-dimensional variational data assimilation (4D-Var) combines the information from a time sequence of observations with the model dynamics and a background state to produce an analysis. In this paper, a new mathematical insight into the behaviour of 4D-Var is gained from an extension of concepts that are used to assess the qualitative information content of observations in satellite retrievals. It is shown that the 4D-Var analysis increments can be written as a linear combination of the singular vectors of a matrix which is a function of both the observational and the forecast model systems. This formulation is used to consider the filtering and interpolating aspects of 4D-Var using idealized case-studies based on a simple model of baroclinic instability. The results of the 4D-Var case-studies exhibit the reconstruction of the state in unobserved regions as a consequence of the interpolation of observations through time. The results also exhibit the filtering of components with small spatial scales that correspond to noise, and the filtering of structures in unobserved regions. The singular vector perspective gives a very clear view of this filtering and interpolating by the 4D-Var algorithm and shows that the appropriate specification of the a priori statistics is vital to extract the largest possible amount of useful information from the observations. Copyright © 2005 Royal Meteorological Society

The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

Comparative analysis by protocol and key of seed storage behaviour of sixty Vietnamese tree species

Seed storage behaviour of 5 1 native and 9 introduced tree species in Vietnam was investigated using a brief protocol developed to aid biodiversity conservation in circumstances where little is known about the seeds. Of the 60 species, 34 appeared to show orthodox (Acacia auriculaeformis, Adenanthera pavonina, Afzelia xylocarpa, Bauhinia purpurea, Callistemon lanceolatus, Cananga odorata, Canarium nigrum, Cassia fistula, Cassia javanica, Cassia splendida, Chukrasia tabularis, Dalbergia bariaensis, Dialium cochinchinensis, Diospyros mollis, Diospyros mun, Dracuntomelon duperreanum, Erythrophleum fordii, Khaya senegalensis, Lagerstroemia speciosa, Leucaena leucocephala, Livistona cochinchinensis, Markhamia stipulata, Melaleuca cajuputi, Millettia ichthyotona, Peltophorum pterocarpum, Peltophorum tonkinensis, Pinus khasya, Pinus massoniana, Pinus merkusii, Pterocarpus macrocarpus, Sindora siamensis, Sophora tonkinense, Sterculia foetida, Swietenia macrophylla), 13 recalcitrant (Avicennia alba, Beilschmiedia roxburghiana, Caryota mitis, Dimocarpus sp., Diospyros malabarica, Dipterocarpus chartaceus, Dypsis pinnatifrons, Hopea odorata, Lithocarpus gigantophylla, Machilus odoratissimus, Melanorrhoea laccifera, Melanorrhea usitata, Syzygium cinereum) and 13 intermediate (Anisoptera cochinchinensis, Aphanamixis polystachya, Averrhoa carambola, Carissa carandas, Chrysopylum cainito, Cinnamomum camphora, Citrofortunella microcarpa, Citrus grandis var. grandis, Elaeis guineensis, Hydnocarpus anthelmintica, Madhuca floribunda, Manilkara achras, Mimusops elengi) seed storage behaviour. A double-criteria key to estimate likely seed storage behaviour showed good agreement with the above: the key can reduce the workload of seed storage behaviour identification considerably.

Phenetic analysis of anemone coronaria (ranunculaceae) and related species

This study clarifies the taxonomic status of Anemone coronaria and segregates the species and A. coronaria infraspecific variants using morphological and morphometric analyses. Principal component analysis of the coronaria group was performed on 25 quantitative and qualitative characters, and morphometric analysis of the A. coronaria infraspecific variants was performed on 21 quantitative and qualitative characters. The results showed that the A. coronaria group clustered into four major groups: A. coronaria L., A. biflora DC, A. bucharica (Regel) Juz.ex Komarov, and a final group including A. eranthioides Regel and A. tschernjaewii Regel. The data on the A. coronaria infraspecific variants clustered into six groups: A. coronaria L. var. coronaria L., var. cyanea Ard., var. albiflora Rouy & Fouc., var. parviflora Regel, var. ventreana Ard., and var. rissoana Ard. © 2007 The Linnean Society of London

3D-Var assimilation of insect-derived Doppler radar radial winds in convective cases using a high resolution model

The assimilation of Doppler radar radial winds for high resolution NWP may improve short term forecasts of convective weather. Using insects as the radar target, it is possible to provide wind observations during convective development. This study aims to explore the potential of these new observations, with three case studies. Radial winds from insects detected by 4 operational weather radars were assimilated using 3D-Var into a 1.5 km resolution version of the Met Office Unified Model, using a southern UK domain and no convective parameterization. The effect on the analysis wind was small, with changes in direction and speed up to 45° and 2 m s−1 respectively. The forecast precipitation was perturbed in space and time but not substantially modified. Radial wind observations from insects show the potential to provide small corrections to the location and timing of showers but not to completely relocate convergence lines. Overall, quantitative analysis indicated the observation impact in the three case studies was small and neutral. However, the small sample size and possible ground clutter contamination issues preclude unequivocal impact estimation. The study shows the potential positive impact of insect winds; future operational systems using dual polarization radars which are better able to discriminate between insects and clutter returns should provided a much greater impact on forecasts.

"Oft expectation fails": a time-series analysis of construction starts in the London office market

Expectations of future market conditions are generally acknowledged to be crucial for the development decision and hence for shaping the built environment. This empirical study of the Central London office market from 1987 to 2009 tests for evidence of adaptive and naive expectations. Applying VAR models and a recursive OLS regression with one-step forecasts, we find evidence of adaptive and naïve, rather than rational expectations of developers. Although the magnitude of the errors and the length of time lags vary over time and development cycles, the results confirm that developers’ decisions are explained to a large extent by contemporaneous and past conditions in both London submarkets. The corollary of this finding is that developers may be able to generate excess profits by exploiting market inefficiencies but this may be hindered in practice by the long periods necessary for planning and construction of the asset. More generally, the results of this study suggest that real estate cycles are largely generated endogenously rather than being the result of unexpected exogenous shocks.

Forecasting VaR using analytic higher moments for GARCH processes

It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have typically required time-consuming simulations of the aggregated returns distributions. This paper shows that fast, quasi-analytic GARCH VaR calculations can be based on new formulae for the first four moments of aggregated GARCH returns. Our extensive empirical study compares the Cornish–Fisher expansion with the Johnson SU distribution for fitting distributions to analytic moments of normal and Student t, symmetric and asymmetric (GJR) GARCH processes to returns data on different financial assets, for the purpose of deriving accurate GARCH VaR forecasts over multiple horizons and significance levels.

Exploring strategies for coupled 4D-Var data assimilation using an idealised atmosphere-ocean model

Operational forecasting centres are currently developing data assimilation systems for coupled atmosphere-ocean models. Strongly coupled assimilation, in which a single assimilation system is applied to a coupled model, presents significant technical and scientific challenges. Hence weakly coupled assimilation systems are being developed as a first step, in which the coupled model is used to compare the current state estimate with observations, but corrections to the atmosphere and ocean initial conditions are then calculated independently. In this paper we provide a comprehensive description of the different coupled assimilation methodologies in the context of four dimensional variational assimilation (4D-Var) and use an idealised framework to assess the expected benefits of moving towards coupled data assimilation. We implement an incremental 4D-Var system within an idealised single column atmosphere-ocean model. The system has the capability to run both strongly and weakly coupled assimilations as well as uncoupled atmosphere or ocean only assimilations, thus allowing a systematic comparison of the different strategies for treating the coupled data assimilation problem. We present results from a series of identical twin experiments devised to investigate the behaviour and sensitivities of the different approaches. Overall, our study demonstrates the potential benefits that may be expected from coupled data assimilation. When compared to uncoupled initialisation, coupled assimilation is able to produce more balanced initial analysis fields, thus reducing initialisation shock and its impact on the subsequent forecast. Single observation experiments demonstrate how coupled assimilation systems are able to pass information between the atmosphere and ocean and therefore use near-surface data to greater effect. We show that much of this benefit may also be gained from a weakly coupled assimilation system, but that this can be sensitive to the parameters used in the assimilation.

An idealized study of coupled atmosphere-ocean 4D-Var in the presence of model error

Atmosphere only and ocean only variational data assimilation (DA) schemes are able to use window lengths that are optimal for the error growth rate, non-linearity and observation density of the respective systems. Typical window lengths are 6-12 hours for the atmosphere and 2-10 days for the ocean. However, in the implementation of coupled DA schemes it has been necessary to match the window length of the ocean to that of the atmosphere, which may potentially sacrifice the accuracy of the ocean analysis in order to provide a more balanced coupled state. This paper investigates how extending the window length in the presence of model error affects both the analysis of the coupled state and the initialized forecast when using coupled DA with differing degrees of coupling. Results are illustrated using an idealized single column model of the coupled atmosphere-ocean system. It is found that the analysis error from an uncoupled DA scheme can be smaller than that from a coupled analysis at the initial time, due to faster error growth in the coupled system. However, this does not necessarily lead to a more accurate forecast due to imbalances in the coupled state. Instead coupled DA is more able to update the initial state to reduce the impact of the model error on the accuracy of the forecast. The effect of model error is potentially most detrimental in the weakly coupled formulation due to the inconsistency between the coupled model used in the outer loop and uncoupled models used in the inner loop.