Modelling convective processes during the suppressed phase of the a Madden-Julian Oscillation: Comparing single-column models with cloud resolving models

The role of convective processes in moistening the atmosphere during suppressed periods of the suppressed phase of a Madden-Julian oscillation is investigated in cloud-resolving model (CRM) simulations, and the impact of moistening on the subsequent evolution of convection is assessed as part of a Global Energy and Water Cycle Experiment Cloud System Study (GCSS) intercomparison project. The ability of single-column model (SCM) versions of a number of state-of-the-art climate and numerical weather prediction models to capture these convective processes is also evaluated. During the suppressed periods, the CRMs are found to simulate a maximum moistening around 3 km, which is associated with a predominance of shallow convection. All SCMs produce adequate amounts of shallow convection during the suppressed periods, comparable to that seen in CRMs, but the relatively drier SCMs have higher precipitation rates than the relatively wetter SCMs and CRMs. The relatively drier SCMs dry, rather than moisten, the lower troposphere below the melting level. During the transition periods, convective processes act to moisten the atmosphere above the level at which mean advection changes from moistening to drying, despite an overall drying effect for the column. The SCMs capture some essence of this moistening at upper levels. A gradual transition from shallow to deep convection is simulated by the CRMs and the wetter SCMs during the transition periods, but the onset of deep convection is delayed in the drier SCMs. This results in lower precipitation rates for these SCMs during the active periods, although much better agreement exists between the models at this time.

Preventive maintenance models with random maintenance quality

In real-world environments it is usually difficult to specify the quality of a preventive maintenance (PM) action precisely. This uncertainty makes it problematic to optimise maintenance policy.-This problem is tackled in this paper by assuming that the-quality of a PM action is a random variable following a probability distribution. Two frequently studied PM models, a failure rate PM model and an age reduction PM model, are investigated. The optimal PM policies are presented and optimised. Numerical examples are also given.

The value premium and time-varying volatility

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.

American option valuation: implied calibration of GARCH pricing models

This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

Congestion models with consistent conjectures

This paper demonstrates that, in situations in which a cumulative externality exists, the basic nature and extent of resource misallocation may be substantially less than we imagine. This conclusion stems from deriving consistent conjectures in a unified framework in which congestion is present. Experiments support the conclusion that, when numbers of agents are small, when there is little heterogeneity among them, and when they have the opportunity to observe each other during repeated experiment, the market allocation may be efficient

Tobit estiamtion with unknown point of censoring with an application to milk market participation in the Ethiopian highlands

Data augmentation is a powerful technique for estimating models with latent or missing data, but applications in agricultural economics have thus far been few. This paper showcases the technique in an application to data on milk market participation in the Ethiopian highlands. There, a key impediment to economic development is an apparently low rate of market participation. Consequently, economic interest centers on the “locations” of nonparticipants in relation to the market and their “reservation values” across covariates. These quantities are of policy interest because they provide measures of the additional inputs necessary in order for nonparticipants to enter the market. One quantity of primary interest is the minimum amount of surplus milk (the “minimum efficient scale of operations”) that the household must acquire before market participation becomes feasible. We estimate this quantity through routine application of data augmentation and Gibbs sampling applied to a random-censored Tobit regression. Incorporating random censoring affects markedly the marketable-surplus requirements of the household, but only slightly the covariates requirements estimates and, generally, leads to more plausible policy estimates than the estimates obtained from the zero-censored formulation

Decay to equilibrium for jump processes with heavy tails

The case is made for a more careful analysis of the large time asymptotic of infinite particle systems in the thermodynamic limit beyond zero density. The insufficiency of current analysis even in the model case of free particles is demonstrated. Recent advances based on more sophisticated analytical tools like functions of mean variation and Hardy spaces are sketched.

Comparison of polar ozone loss rates simulated by one-dimensional and three-dimensional models with Match observations in recent Antarctic and Arctic winters

Simulations of ozone loss rates using a three-dimensional chemical transport model and a box model during recent Antarctic and Arctic winters are compared with experimental loss rates. The study focused on the Antarctic winter 2003, during which the first Antarctic Match campaign was organized, and on Arctic winters 1999/2000, 2002/2003. The maximum ozone loss rates retrieved by the Match technique for the winters and levels studied reached 6 ppbv/sunlit hour and both types of simulations could generally reproduce the observations at 2-sigma error bar level. In some cases, for example, for the Arctic winter 2002/2003 at 475 K level, an excellent agreement within 1-sigma standard deviation level was obtained. An overestimation was also found with the box model simulation at some isentropic levels for the Antarctic winter and the Arctic winter 1999/2000, indicating an overestimation of chlorine activation in the model. Loss rates in the Antarctic show signs of saturation in September, which have to be considered in the comparison. Sensitivity tests were performed with the box model in order to assess the impact of kinetic parameters of the ClO-Cl2O2 catalytic cycle and total bromine content on the ozone loss rate. These tests resulted in a maximum change in ozone loss rates of 1.2 ppbv/sunlit hour, generally in high solar zenith angle conditions. In some cases, a better agreement was achieved with fastest photolysis of Cl2O2 and additional source of total inorganic bromine but at the expense of overestimation of smaller ozone loss rates derived later in the winter.

Asymmetric output gap effects in Phillips Curve and mark-up pricing models: evidence for the US and the UK

A number of studies have found an asymmetric response of consumer price index inflation to the output gap in the US in simple Phillips curve models. We consider whether there are similar asymmetries in mark-up pricing models, that is, whether the mark-up over producers' costs also depends upon the sign of the (adjusted) output gap. The robustness of our findings to the price series is assessed, and also whether price-output responses in the UK are asymmetric.

Comparing tropical precipitation simulated by the Met Office NWP and climate models with satellite observations

Forecasts of precipitation and water vapor made by the Met Office global numerical weather prediction (NWP) model are evaluated using products from satellite observations by the Special Sensor Microwave Imager/Sounder (SSMIS) and Tropical Rainfall Measuring Mission (TRMM) Multisatellite Precipitation Analysis (TMPA) for June–September 2011, with a focus on tropical areas (308S–308N). Consistent with previous studies, the predicted diurnal cycle of precipitation peaks too early (by ;3 h) and the amplitude is too strong over both tropical ocean and land regions. Most of the wet and dry precipitation biases, particularly those over land, can be explained by the diurnal-cycle discrepancies. An overall wet bias over the equatorial Pacific and Indian Oceans and a dry bias over the western Pacific warmpool and India are linked with similar biases in the climate model, which shares common parameterizations with the NWP version. Whereas precipitation biases develop within hours in the NWP model, underestimates in water vapor (which are assimilated by the NWP model) evolve over the first few days of the forecast. The NWP simulations are able to capture observed daily-to-intraseasonal variability in water vapor and precipitation, including fluctuations associated with tropical cyclones.

Robust comparison of climate models with observations using blended land air and ocean sea surface temperatures

The level of agreement between climate model simulations and observed surface temperature change is a topic of scientific and policy concern. While the Earth system continues to accumulate energy due to anthropogenic and other radiative forcings, estimates of recent surface temperature evolution fall at the lower end of climate model projections. Global mean temperatures from climate model simulations are typically calculated using surface air temperatures, while the corresponding observations are based on a blend of air and sea surface temperatures. This work quantifies a systematic bias in model-observation comparisons arising from differential warming rates between sea surface temperatures and surface air temperatures over oceans. A further bias arises from the treatment of temperatures in regions where the sea ice boundary has changed. Applying the methodology of the HadCRUT4 record to climate model temperature fields accounts for 38% of the discrepancy in trend between models and observations over the period 1975–2014.

Using non-homogeneous Poisson models with multiple change-points to estimate the number of ozone exceedances in Mexico City

In this paper, we consider some non-homogeneous Poisson models to estimate the probability that an air quality standard is exceeded a given number of times in a time interval of interest. We assume that the number of exceedances occurs according to a non-homogeneous Poisson process (NHPP). This Poisson process has rate function lambda(t), t >= 0, which depends on some parameters that must be estimated. We take into account two cases of rate functions: the Weibull and the Goel-Okumoto. We consider models with and without change-points. When the presence of change-points is assumed, we may have the presence of either one, two or three change-points, depending of the data set. The parameters of the rate functions are estimated using a Gibbs sampling algorithm. Results are applied to ozone data provided by the Mexico City monitoring network. In a first instance, we assume that there are no change-points present. Depending on the adjustment of the model, we assume the presence of either one, two or three change-points. Copyright (C) 2009 John Wiley & Sons, Ltd.

Bayesian nonlinear regression models with scale mixtures of skew-normal distributions: Estimation and case influence diagnostics

The purpose of this paper is to develop a Bayesian analysis for nonlinear regression models under scale mixtures of skew-normal distributions. This novel class of models provides a useful generalization of the symmetrical nonlinear regression models since the error distributions cover both skewness and heavy-tailed distributions such as the skew-t, skew-slash and the skew-contaminated normal distributions. The main advantage of these class of distributions is that they have a nice hierarchical representation that allows the implementation of Markov chain Monte Carlo (MCMC) methods to simulate samples from the joint posterior distribution. In order to examine the robust aspects of this flexible class, against outlying and influential observations, we present a Bayesian case deletion influence diagnostics based on the Kullback-Leibler divergence. Further, some discussions on the model selection criteria are given. The newly developed procedures are illustrated considering two simulations study, and a real data previously analyzed under normal and skew-normal nonlinear regression models. (C) 2010 Elsevier B.V. All rights reserved.