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Rank histograms of stratified Monte-Carlo ensembles

Siegert, S., Broecker, J. and Kantz, H. (2012) Rank histograms of stratified Monte-Carlo ensembles. Monthly Weather Review, 140 (12). pp. 1558-1571. ISSN 0027-0644

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To link to this item DOI: 10.1175/MWR-D-11-00302.1


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 reasonable property to ask for is statistical consistency, which demands that the ensemble members and the verification 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 regime) 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
Divisions:No Reading authors. Back catalogue items
Faculty of Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
Faculty of Science > School of Mathematical, Physical and Computational Sciences > Department of Meteorology
ID Code:29509
Publisher:American Meteorological Society

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