Forecasting with Bayesian multivariate vintage-based VARs

We consider the forecasting of macroeconomic variables that are subject to revisions, using Bayesian vintage-based vector autoregressions. The prior incorporates the belief that, after the first few data releases, subsequent ones are likely to consist of revisions that are largely unpredictable. The Bayesian approach allows the joint modelling of the data revisions of more than one variable, while keeping the concomitant increase in parameter estimation uncertainty manageable. Our model provides markedly more accurate forecasts of post-revision values of inflation than do other models in the literature.

Global forecasting of thermal health hazards: the skill of probabilistic predictions of the Universal Thermal Climate Index (UTCI)

Although over a hundred thermal indices can be used for assessing thermal health hazards, many ignore the human heat budget, physiology and clothing. The Universal Thermal Climate Index (UTCI) addresses these shortcomings by using an advanced thermo-physiological model. This paper assesses the potential of using the UTCI for forecasting thermal health hazards. Traditionally, such hazard forecasting has had two further limitations: it has been narrowly focused on a particular region or nation and has relied on the use of single ‘deterministic’ forecasts. Here, the UTCI is computed on a global scale,which is essential for international health-hazard warnings and disaster preparedness, and it is provided as a probabilistic forecast. It is shown that probabilistic UTCI forecasts are superior in skill to deterministic forecasts and that despite global variations, the UTCI forecast is skilful for lead times up to 10 days. The paper also demonstrates the utility of probabilistic UTCI forecasts on the example of the 2010 heat wave in Russia.

Ensemble downscaling in coupled solar wind-magnetosphere modeling for space weather forecasting

Advanced forecasting of space weather requires simulation of the whole Sun-to-Earth system, which necessitates driving magnetospheric models with the outputs from solar wind models. This presents a fundamental difficulty, as the magnetosphere is sensitive to both large-scale solar wind structures, which can be captured by solar wind models, and small-scale solar wind “noise,” which is far below typical solar wind model resolution and results primarily from stochastic processes. Following similar approaches in terrestrial climate modeling, we propose statistical “downscaling” of solar wind model results prior to their use as input to a magnetospheric model. As magnetospheric response can be highly nonlinear, this is preferable to downscaling the results of magnetospheric modeling. To demonstrate the benefit of this approach, we first approximate solar wind model output by smoothing solar wind observations with an 8 h filter, then add small-scale structure back in through the addition of random noise with the observed spectral characteristics. Here we use a very simple parameterization of noise based upon the observed probability distribution functions of solar wind parameters, but more sophisticated methods will be developed in the future. An ensemble of results from the simple downscaling scheme are tested using a model-independent method and shown to add value to the magnetospheric forecast, both improving the best estimate and quantifying the uncertainty. We suggest a number of features desirable in an operational solar wind downscaling scheme.

The first real-time worldwide ionospheric predictions network: an advance in support of spaceborne experimentation, on-line model validation, and space weather

We report on the first realtime ionospheric predictions network and its capabilities to ingest a global database and forecast F-layer characteristics and "in situ" electron densities along the track of an orbiting spacecraft. A global network of ionosonde stations reported around-the-clock observations of F-region heights and densities, and an on-line library of models provided forecasting capabilities. Each model was tested against the incoming data; relative accuracies were intercompared to determine the best overall fit to the prevailing conditions; and the best-fit model was used to predict ionospheric conditions on an orbit-to-orbit basis for the 12-hour period following a twice-daily model test and validation procedure. It was found that the best-fit model often provided averaged (i.e., climatologically-based) accuracies better than 5% in predicting the heights and critical frequencies of the F-region peaks in the latitudinal domain of the TSS-1R flight path. There was a sharp contrast however, in model-measurement comparisons involving predictions of actual, unaveraged, along-track densities at the 295 km orbital altitude of TSS-1R In this case, extrema in the first-principle models varied by as much as an order of magnitude in density predictions, and the best-fit models were found to disagree with the "in situ" observations of Ne by as much as 140%. The discrepancies are interpreted as a manifestation of difficulties in accurately and self-consistently modeling the external controls of solar and magnetospheric inputs and the spatial and temporal variabilities in electric fields, thermospheric winds, plasmaspheric fluxes, and chemistry.

Satellite-supported flood forecasting in river networks: a real case study

Satellite-based (e.g., Synthetic Aperture Radar [SAR]) water level observations (WLOs) of the floodplain can be sequentially assimilated into a hydrodynamic model to decrease forecast uncertainty. This has the potential to keep the forecast on track, so providing an Earth Observation (EO) based flood forecast system. However, the operational applicability of such a system for floods developed over river networks requires further testing. One of the promising techniques for assimilation in this field is the family of ensemble Kalman (EnKF) filters. These filters use a limited-size ensemble representation of the forecast error covariance matrix. This representation tends to develop spurious correlations as the forecast-assimilation cycle proceeds, which is a further complication for dealing with floods in either urban areas or river junctions in rural environments. Here we evaluate the assimilation of WLOs obtained from a sequence of real SAR overpasses (the X-band COSMO-Skymed constellation) in a case study. We show that a direct application of a global Ensemble Transform Kalman Filter (ETKF) suffers from filter divergence caused by spurious correlations. However, a spatially-based filter localization provides a substantial moderation in the development of the forecast error covariance matrix, directly improving the forecast and also making it possible to further benefit from a simultaneous online inflow error estimation and correction. Additionally, we propose and evaluate a novel along-network metric for filter localization, which is physically-meaningful for the flood over a network problem. Using this metric, we further evaluate the simultaneous estimation of channel friction and spatially-variable channel bathymetry, for which the filter seems able to converge simultaneously to sensible values. Results also indicate that friction is a second order effect in flood inundation models applied to gradually varied flow in large rivers. The study is not conclusive regarding whether in an operational situation the simultaneous estimation of friction and bathymetry helps the current forecast. Overall, the results indicate the feasibility of stand-alone EO-based operational flood forecasting.

Reducing noise associated with the Monte Carlo Independent Column Approximation for weather forecasting models

The Monte Carlo Independent Column Approximation (McICA) is a flexible method for representing subgrid-scale cloud inhomogeneity in radiative transfer schemes. It does, however, introduce conditional random errors but these have been shown to have little effect on climate simulations, where spatial and temporal scales of interest are large enough for effects of noise to be averaged out. This article considers the effect of McICA noise on a numerical weather prediction (NWP) model, where the time and spatial scales of interest are much closer to those at which the errors manifest themselves; this, as we show, means that noise is more significant. We suggest methods for efficiently reducing the magnitude of McICA noise and test these methods in a global NWP version of the UK Met Office Unified Model (MetUM). The resultant errors are put into context by comparison with errors due to the widely used assumption of maximum-random-overlap of plane-parallel homogeneous cloud. For a simple implementation of the McICA scheme, forecasts of near-surface temperature are found to be worse than those obtained using the plane-parallel, maximum-random-overlap representation of clouds. However, by applying the methods suggested in this article, we can reduce noise enough to give forecasts of near-surface temperature that are an improvement on the plane-parallel maximum-random-overlap forecasts. We conclude that the McICA scheme can be used to improve the representation of clouds in NWP models, with the provision that the associated noise is sufficiently small.

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.

Forecasting elections

In this paper we assess opinion polls, prediction markets, expert opinion and statistical modelling over a large number of US elections in order to determine which perform better in terms of forecasting outcomes. In line with existing literature, we bias-correct opinion polls. We consider accuracy, bias and precision over different time horizons before an election, and we conclude that prediction markets appear to provide the most precise forecasts and are similar in terms of bias to opinion polls. We find that our statistical model struggles to provide competitive forecasts, while expert opinion appears to be of value. Finally we note that the forecast horizon matters; whereas prediction market forecasts tend to improve the nearer an election is, opinion polls appear to perform worse, while expert opinion performs consistently throughout. We thus contribute to the growing literature comparing election forecasts of polls and prediction markets.

The pitfalls of ecological forecasting

Ecological forecasting is difficult but essential, because reactive management results in corrective actions that are often too late to avert significant environmental damage. Here, we appraise different forecasting methods with a particular focus on the modelling of species populations. We show how simple extrapolation of current trends in state is often inadequate because environmental drivers change in intensity over time and new drivers emerge. However, statistical models, incorporating relationships with drivers, simply offset the prediction problem, requiring us to forecast how the drivers will themselves change over time. Some authors approach this problem by focusing in detail on a single driver, whilst others use ‘storyline’ scenarios, which consider projected changes in a wide range of different drivers. We explain why both approaches are problematic and identify a compromise to model key drivers and interactions along with possible response options to help inform environmental management. We also highlight the crucial role of validation of forecasts using independent data. Although these issues are relevant for all types of ecological forecasting, we provide examples based on forecasts for populations of UK butterflies. We show how a high goodness-of-fit for models used to calibrate data is not sufficient for good forecasting. Long-term biological recording schemes rather than experiments will often provide data for ecological forecasting and validation because these schemes allow capture of landscape-scale land-use effects and their interactions with other drivers.

Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

Continental and global scale flood forecasting systems

Floods are the most frequent of natural disasters, affecting millions of people across the globe every year. The anticipation and forecasting of floods at the global scale is crucial to preparing for severe events and providing early awareness where local flood models and warning services may not exist. As numerical weather prediction models continue to improve, operational centres are increasingly using the meteorological output from these to drive hydrological models, creating hydrometeorological systems capable of forecasting river flow and flood events at much longer lead times than has previously been possible. Furthermore, developments in, for example, modelling capabilities, data and resources in recent years have made it possible to produce global scale flood forecasting systems. In this paper, the current state of operational large scale flood forecasting is discussed, including probabilistic forecasting of floods using ensemble prediction systems. Six state-of-the-art operational large scale flood forecasting systems are reviewed, describing similarities and differences in their approaches to forecasting floods at the global and continental scale. Currently, operational systems have the capability to produce coarse-scale discharge forecasts in the medium-range and disseminate forecasts and, in some cases, early warning products, in real time across the globe, in support of national forecasting capabilities. With improvements in seasonal weather forecasting, future advances may include more seamless hydrological forecasting at the global scale, alongside a move towards multi-model forecasts and grand ensemble techniques, responding to the requirement of developing multi-hazard early warning systems for disaster risk reduction.

Data insertion in volcanic ash cloud forecasting

During the eruption of Eyjafjallajökull in April and May 2010, the London Volcanic Ash  Advisory Centre demonstrated the importance of infrared (IR) satellite imagery for monitoring volcanic ash and validating the Met Office operational model, NAME. This model is used to forecast ash dispersion and forms much of the basis of the advice given to civil aviation. NAME requires a source term describing the properties of the eruption plume at the volcanic source. Elements of the source term are often highly uncertain and significant effort has therefore been invested into the use of satellite observations of ash clouds to constrain them. This paper presents a data insertion method, where satellite observations of downwind ash clouds are used to create effective ‘virtual sources’ far from the vent. Uncertainty in the model output is known to increase over the duration of a model run, as inaccuracies in the source term, meteorological data and the parameterizations of the   modelled processes accumulate. This new technique, where the dispersion model (DM) is ‘reinitialized’ part-­way through a run, could go some way to addressing this.

Understanding advances in the simulation of the Madden-Julian Oscillation in a numerical weather prediction model.

The Madden-Julian Oscillation (MJO) is the dominant mode of intraseasonal variability in the Trop- ics. It can be characterised as a planetary-scale coupling between the atmospheric circulation and organised deep convection that propagates east through the equatorial Indo-Pacific region. The MJO interacts with weather and climate systems on a near-global scale and is a crucial source of predictability for weather forecasts on medium to seasonal timescales. Despite its global signifi- cance, accurately representing the MJO in numerical weather prediction (NWP) and climate models remains a challenge. This thesis focuses on the representation of the MJO in the Integrated Forecasting System (IFS) at the European Centre for Medium-Range Weather Forecasting (ECMWF), a state-of-the-art NWP model. Recent modifications to the model physics in Cycle 32r3 (Cy32r3) of the IFS led to ad- vances in the simulation of the MJO; for the first time the observed amplitude of the MJO was maintained throughout the integration period. A set of hindcast experiments, which differ only in their formulation of convection, have been performed between May 2008 and April 2009 to asses the sensitivity of MJO simulation in the IFS to the Cy32r3 convective parameterization. Unique to this thesis is the attribution of the advances in MJO simulation in Cy32r3 to the mod- ified convective parameterization, specifically, the relative-humidity-dependent formulation for or- ganised deep entrainment. Increasing the sensitivity of the deep convection scheme to environmen- tal moisture is shown to modify the relationship between precipitation and moisture in the model. Through dry-air entrainment, convective plumes ascending in low-humidity environments terminate lower in the atmosphere. As a result, there is an increase in the occurrence of cumulus congestus, which acts to moisten the mid-troposphere. Due to the modified precipitation-moisture relationship more moisture is able to build up which effectively preconditions the tropical atmosphere for the transition to deep convection. Results from this thesis suggest that a tropospheric moisture control on convection is key to simulating the interaction between the physics and large-scale circulation associated with the MJO.

Re-examining the U.K.'s greatest tornado outbreak: forecasting the limited extent of tornadoes along a cold front

On 23 November 1981, a strong cold front swept across the U.K., producing tornadoes from the west to the east coasts. An extensive campaign to collect tornado reports by the Tornado and Storm Research Organisation (TORRO) resulted in 104 reports, the largest U.K. outbreak. The front was simulated with a convection-permitting numerical model down to 200-m horizontal grid spacing to better understand its evolution and meteorological environment. The event was typical of tornadoes in the U.K., with convective available potential energy (CAPE) less than 150 J kg-1, 0-1-km wind shear of 10-20 m s-1, and a narrow cold-frontal rainband forming precipitation cores and gaps. A line of cyclonic absolute vorticity existed along the front, with maxima as large as 0.04 s-1. Some hook-shaped misovortices bore kinematic similarity to supercells. The narrow swath along which the line was tornadic was bounded on the equatorward side by weak vorticity along the line and on the poleward side by zero CAPE, enclosing a region where the environment was otherwise favorable for tornadogenesis. To determine if the 104 tornado reports were plausible, first possible duplicate reports were eliminated, resulting in as few as 58 tornadoes to as many as 90. Second, the number of possible parent misovortices that may have spawned tornadoes is estimated from model output. The number of plausible tornado reports in the 200-m grid-spacing domain was 22 and as many as 44, whereas the model simulation was used to estimate 30 possible parent misovortices within this domain. These results suggest that 90 reports was plausible.

MODELLING AND FORECASTING INFLATION RATES IN GHANA: AN APPLICATION OF SARIMA MODELS

Ghana faces a macroeconomic problem of inflation for a long period of time. The problem in somehow slows the economic growth in this country. As we all know, inflation is one of the major economic challenges facing most countries in the world especially those in African including Ghana. Therefore, forecasting inflation rates in Ghana becomes very important for its government to design economic strategies or effective monetary policies to combat any unexpected high inflation in this country. This paper studies seasonal autoregressive integrated moving average model to forecast inflation rates in Ghana. Using monthly inflation data from July 1991 to December 2009, we find that ARIMA (1,1,1)(0,0,1)12 can represent the data behavior of inflation rate in Ghana well. Based on the selected model, we forecast seven (7) months inflation rates of Ghana outside the sample period (i.e. from January 2010 to July 2010). The observed inflation rate from January to April which was published by Ghana Statistical Service Department fall within the 95% confidence interval obtained from the designed model. The forecasted results show a decreasing pattern and a turning point of Ghana inflation in the month of July.