Jan Galkowski |
Akamai Technologies |
empirical_bayesian@ieee.org |
Cambridge, MA 02142 |
18th May 2014 | (revised draft 007, HTML version) |
The best thing about being a statistician is that you get to play in everyone's backyard.Anyone who doubts the fun of doing so, or how statistics enables such, should read Young.
The Rauch-Tung-Striebel smoother is an enhancement of the Kalman filter. Let $$y_{\kappa}$$
denote a set of univariate observations at equally space and successive
time steps $$\kappa$$. Describe these as follows:
For the purposes here, a simple version of this is used, something called a local level model (Chapter 2) and occasionally a Gaussian random walk with noise model (Section 12.3.1). In that instance, $$\mathbf{G}$$ and $$\mathbf{H}$$ are not only scalars, they are unity, resulting in the simpler
In either case, the Kalman filter is a way of calculating $$\mathbf{x}_{\kappa}$$, given $$y_{1}, y_{2}, \dots, y_{n}$$, values for $$\mathbf{G}$$ and $$\mathbf{H}$$, and estimates for $$\sigma^{2}_{\varepsilon}$$ and $$\sigma^{2}_{\eta}$$. Choices for $$\mathbf{G}$$ and $$\mathbf{H}$$ are considered a model for the data. Choices for $$\sigma^{2}_{\varepsilon}$$ and $$\sigma^{2}_{\eta}$$ are based upon experience with $$Y_{\kappa}$$ and the model. In practice, and within limits, the bigger the ratio the smoother the solution for $$\mathbf{x}_{\kappa}$$ over successive $$\kappa$$. Now, the Rauch-Tung-Striebel extension of the Kalman filter amounts to (a) interpreting it in a Bayesian context, and (b) using that interpretation and Bayes Rule to retrospectively update $$\mathbf{x}_{\kappa-1}, \mathbf{x}_{\kappa-2}, \dots, \mathbf{x}_{1}$$ with the benefit of information through $$y_{\kappa}$$ and the current state $$\mathbf{x}_{\kappa}$$. Details won't be provided here, but are described in depth in many texts, such as Cowpertwait and Metcalfe, Durbin and Koopman, and Särkkä. Finally, commenting on the observation regarding subjectivity of choice in the a href="#EQ:RatioOfVariances">ratio of variances, mentioned in Section 5 at the discussion of their choice "smoother" here has a specific meaning. If this ratio is smaller, the RTS solution tracks the signal more closely, meaning its short term variability is higher. A small ratio has implications for forecasting, increasing the prediction variance. |
Hiatus periods of 10 to 15 years can arise as a manifestation of internal decadal climate variability, which sometimes enhances and sometimes counteracts the long-term externally forced trend. Internal variability thus diminishes the relevance of trends over periods as short as 10 to 15 years for long-term climate change (Box 2.2, Section 2.4.3). Furthermore, the timing of internal decadal climate variability is not expected to be matched by the CMIP5 historical simulations, owing to the predictability horizon of at most 10 to 20 years (Section 11.2.2; CMIP5 historical simulations are typically started around nominally 1850 from a control run). However, climate models exhibit individual decades of GMST trend hiatus even during a prolonged phase of energy uptake of the climate system (e.g., Figure 9.8; Easterling and Wehner, 2009; Knight et al., 2009), in which case the energy budget would be balanced by increasing subsurface-ocean heat uptake (Meehl et al., 2011, 2013a; Guemas et al., 2013).The contributions of Fyfe, Gillet, and Zwiers ("FGZ") are to (a) pin down this behavior for a 20 year period using the HadCRUT4 data, and, to my mind, more importantly, (b) to develop techniques for evaluating runs of ensembles of climate models like the CMIP5 suite without commissioning specfic runs for the purpose. This, if it were to prove out, would be an important experimental advance, since climate models demand expensive and extensive hardware, and the number of people who know how to program and run them is very limited, possibly a more limiting practical constraint than the hardware.
Owing to sampling limitations, it is uncertain whether an increase in the rate of subsurface-ocean heat uptake occurred during the past 15 years (Section 3.2.4). However, it is very likely that the climate system, including the ocean below 700 m depth, has continued to accumulate energy over the period 1998-2010 (Section 3.2.4, Box 3.1). Consistent with this energy accumulation, global mean sea level has continued to rise during 1998-2012, at a rate only slightly and insignificantly lower than during 1993-2012 (Section 3.7). The consistency between observed heat-content and sea level changes yields high confidence in the assessment of continued ocean energy accumulation, which is in turn consistent with the positive radiative imbalance of the climate system (Section 8.5.1; Section 13.3, Box 13.1). By contrast, there is limited evidence that the hiatus in GMST trend has been accompanied by a slower rate of increase in ocean heat content over the depth range 0 to 700 m, when comparing the period 2003-2010 against 1971-2010. There is low agreement on this slowdown, since three of five analyses show a slowdown in the rate of increase while the other two show the increase continuing unabated (Section 3.2.3, Figure 3.2). [Emphasis added by author.]
During the 15-year period beginning in 1998, the ensemble of HadCRUT4 GMST trends lies below almost all model-simulated trends (Box 9.2 Figure 1a), whereas during the 15-year period ending in 1998, it lies above 93 out of 114 modelled trends (Box 9.2 Figure 1b; HadCRUT4 ensemble-mean trend $$0.26\,^{\circ}\mathrm{C}$$ per decade, CMIP5 ensemble-mean trend $$0.16\,^{\circ}\mathrm{C}$$ per decade). Over the 62-year period 1951-2012, observed and CMIP5 ensemble-mean trends agree to within $$0.02\,^{\circ}\mathrm{C}$$ per decade (Box 9.2 Figure 1c; CMIP5 ensemble-mean trend $$0.13\,^{\circ}\mathrm{C}$$ per decade). There is hence very high confidence that the CMIP5 models show long-term GMST trends consistent with observations, despite the disagreement over the most recent 15-year period. Due to internal climate variability, in any given 15-year period the observed GMST trend sometimes lies near one end of a model ensemble (Box 9.2, Figure 1a, b; Easterling and Wehner, 2009), an effect that is pronounced in Box 9.2, Figure 1a, because GMST was influenced by a very strong El Ni\~{n}o event in 1998. [Emphasis added by author.]
Accordingly, the dispersion of a forecast ensemble can at best only approximate the [probability density function] of forecast uncertainty ... In particular, a forecast ensemble may reflect errors both in statistical location (most or all ensemble members being well away from the actual state of the atmosphere, but relatively nearer to each other) and dispersion (either under- or overrepresenting the forecast uncertainty). Often, operational ensemble forecasts are found to exhibit too little dispersion ..., which leads to overconfidence in probability assessment if ensemble relative frequencies are interpreted as estimating probabilities.In fact, the IPCC reference, Toth, Palmer and others raise the same caution. It could be that the answer to why the variance of the observational data in the Fyfe, Gillet, and Zwiers graph depicted in Figure 15 is so small is that ensemble spread does not properly reflect the true probability density function of the joint distribution of temperatures across Earth. These might be "relatively nearer to each other" than the true dispersion which climate models are accommodating.
TEMPERATURE TRENDS | |
---|---|
1997-2012 | |
Source | Warming ($$^{\circ}\,\mathrm{C}$$/decade) |
Climate models | 0.102-0.412 |
NASA data set | 0.080 |
HadCRUT data set | 0.046 |
Cowtan/Way | 0.119 |