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Lerch, Sebastian; Baran, Sándor; Möller, Annette Christine ; Groß, Jürgen; Schefzik, Roman; Hemri, Stephan; Graeter, Maximiliane: Simulation-based comparison of multivariate ensemble post-processing methods. In: Nonlinear Processes in Geophysics. Jg.27 H. 2. 2020, S. 349-371
Inhalt
Post-processing of ensemble forecasts
Step 1: univariate post-processing
Step 2: incorporating dependence structures using copulas to obtain multivariate post-processing
Assumption of independence (EMOS-Q)
Ensemble copula coupling (ECC)
Dual ensemble copula coupling (dECC)
Schaake shuffle (SSh)
Gaussian copula approach (GCA)
Simulation settings
Setting 1: multivariate Gaussian distribution
Setting 2: multivariate censored extreme value distribution
Setting 3: multivariate Gaussian distribution with changes over time
Results
Univariate performance
Multivariate performance
Setting 1: multivariate Gaussian distribution
Setting 2: multivariate censored GEV distributions
Setting 3: multivariate Gaussian distribution with changes over iterations
Discussion and conclusion
Appendix A: Details on the left-censored generalized extreme value (GEV) distribution
Appendix A1: Expectation and variance
Appendix B: Evaluating probabilistic forecasts
Appendix B1: Proper scoring rules
Appendix B2: Diebold–Mariano tests
Code availability
Supplement
Author contributions
Competing interests
Special issue statement
Acknowledgements
Financial support
Review statement
References