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Rank histograms of stratified Monte Carlo ensembles

Siegert, Stefan, Bröcker, Jochen and Kantz, Holger (2012) Rank histograms of stratified Monte Carlo ensembles. Monthly Weather Review, 140 (5). pp. 1558-1571. ISSN 0027-0644

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Abstract

The application of forecast ensembles to probabilistic weather prediction has spurred considerable interest in their evaluation. Such ensembles are commonly interpreted as Monte Carlo ensembles meaning that the ensemble members are perceived as random draws from a distribution. Under this interpretation, a reason- able property to ask for is statistical consistency, which demands that the ensemble members and the veri- fication behave like draws from the same distribution. A widely used technique to assess statistical consistency of a historical dataset is the rank histogram, which uses as a criterion the number of times that the verification falls between pairs of members of the ordered ensemble. Ensemble evaluation is rendered more specific by stratification, which means that ensembles that satisfy a certain condition (e.g., a certain meteorological re- gime) are evaluated separately. Fundamental relationships between Monte Carlo ensembles, their rank histograms, and random sampling from the probability simplex according to the Dirichlet distribution are pointed out. Furthermore, the possible benefits and complications of ensemble stratification are discussed. The main conclusion is that a stratified Monte Carlo ensemble might appear inconsistent with the verification even though the original (unstratified) ensemble is consistent. The apparent inconsistency is merely a result of stratification. Stratified rank histograms are thus not necessarily flat. This result is demonstrated by perfect ensemble simulations and supplemented by mathematical arguments. Possible methods to avoid or remove artifacts that stratification induces in the rank histogram are suggested.

Item Type: Article
Official URL: http://journals.ametsoc.org/loi/mwre
Additional Information: © 2012 American Meteorological Society.
Library of Congress subject classification: G Geography. Anthropology. Recreation > GE Environmental Sciences
Q Science > QA Mathematics
Sets: Research centres and groups > Centre for the Analysis of Time Series (CATS)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 28 Aug 2012 12:59
URL: http://eprints.lse.ac.uk/45607/

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