A Time‐Simultaneous Prediction Box for a Multivariate Time Series

A sample‐based method in Kolsrud (Journal of Forecasting 2007; 26 (3): 171–188) for the construction of a time‐simultaneous prediction band for a univariate time series is extended to produce a variable‐ and time‐simultaneous prediction box for a multivariate time series. A measure of distance based on the L_∞ ‐norm is applied to a learning sample of multivariate time trajectories, which can be mean‐ and/or variance‐nonstationary. Based on the ranking of distances to the centre of the sample, a subsample of the most central multivariate trajectories is selected. A prediction box is constructed by circumscribing the subsample with a hyperrectangle. The fraction of central trajectories selected into the subsample can be calibrated by bootstrap such that the expected coverage of the box equals a prescribed nominal level. The method is related to the concept of data depth, and thence modified to increase coverage. Applications to simulated and empirical data illustrate the method, which is also compared to several other methods in the literature adapted to the multivariate setting. Copyright © 2015 John Wiley & Sons, Ltd.     

Forecast robustness in macroeconometric models

This paper investigates potential invariance of mean forecast errors to structural breaks in the data generating process. From the general forecasting literature, such robustness is expected to be a rare occurrence. With the aid of a stylized macro model we are able to identify some economically relevant cases of robustness and to interpret them economically. We give an interpretation in terms of co‐breaking. The analytical results resound well with the forecasting record of a medium‐scale econometric model of the Norwegian economy.     

Time‐simultaneous prediction band for a time series

I propose principles and methods for the construction of a time‐simultaneous prediction band for a univariate time series. The methods are entirely based on a learning sample of time trajectories, and make no parametric assumption about its distribution. Hence, the methods are general and widely applicable. The expected coverage probability of a band can be estimated by a bootstrap procedure. The estimate is likely to be less than the nominal level. Expected lack of coverage can be compensated for by increasing the coverage in the learning sample. Applications to simulated and empirical data illustrate the methods. Copyright © 2007 John Wiley & Sons, Ltd.     

Theory and practice of multivariate arma forecasting

We compare univariate and multivariate forecasts based on ARMA models. In theory we cannot do worse by using a multivariate model instead of a univariate one, but we can risk getting no improvement. Conditions for no improvements are discussed as well as cases where large improvements occur. The effect of estimated parameters is examined and found to be small granted that a good method of estimation is used. However, multivariate models could be very sensitive to structural changes. This is illustrated via an example involving monetary data, where the multivariate forecasts perform considerably worse than the univariate ones. This seems to put a limitation on the use of multivariate ARMA forecasting models.     

西藏班戈县2006年4月20日的地震和灾情

文章阐述了西藏大学地震网利用意大利SARA公司生产的三项短波数字地震仪(SR97/S3),对2006年4月20日在西藏班戈县发生的里氏5.6级地震的观测结果和实地灾情调研的详细结果。并介绍了西藏班戈地带近年来发生的大地震的概况。实地考察发现,班戈县10个乡镇中的8个乡镇造成不同程度的影响;部分牧民住房被倒塌,部分新建房屋出现了裂痕;造成少量牲畜死亡,没有人员伤亡。     

Anthropogenic greenhouse gas contribution to flood risk in England and Wales in autumn 2000

Interest in attributing the risk of damaging weather-related events to anthropogenic climate change is increasing. Yet climate models used to study the attribution problem typically do not resolve the weather systems associated with damaging events such as the UK floods of October and November 2000. Occurring during the wettest autumn in England and Wales since records began in 1766, these floods damaged nearly 10,000 properties across that region, disrupted services severely, and caused insured losses estimated at ￡1.3 billion (refs 5, 6). Although the flooding was deemed a 'wake-up call' to the impacts of climate change at the time, such claims are typically supported only by general thermodynamic arguments that suggest increased extreme precipitation under global warming, but fail to account fully for the complex hydrometeorology associated with flooding. Here we present a multi-step, physically based 'probabilistic event attribution' framework showing that it is very likely that global anthropogenic greenhouse gas emissions substantially increased the risk of flood occurrence in England and Wales in autumn 2000. Using publicly volunteered distributed computing, we generate several thousand seasonal-forecast-resolution climate model simulations of autumn 2000 weather, both under realistic conditions, and under conditions as they might have been had these greenhouse gas emissions and the resulting large-scale warming never occurred. Results are fed into a precipitation-runoff model that is used to simulate severe daily river runoff events in England and Wales (proxy indicators of flood events). The precise magnitude of the anthropogenic contribution remains uncertain, but in nine out of ten cases our model results indicate that twentieth-century anthropogenic greenhouse gas emissions increased the risk of floods occurring in England and Wales in autumn 2000 by more than 20%, and in two out of three cases by more than 90%.