Long-term forecasting of El Niño events via dynamic factor simulations

DOI10.1016/J.JECONOM.2019.05.004zbMath1456.62295OpenAlexW2958966344MaRDI QIDQ2280599

Siem Jan Koopman, Rutger Lit, Mengheng Li, Desislava Petrova

Publication date: 19 December 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/ws/files/151598293/Longterm_forecasting_of_El_Nino_events_via_dynamic_factor_simulations.pdf

zbMATH Keywords

Kalman filterfactor modelsmultivariate time seriesdynamic modelsunobserved componentssimulation smoothinglong-term forecastclimate econometrics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Climate science and climate modeling (86A08)

Uses Software

• Ox

Cites Work

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• Likelihood analysis of non-Gaussian measurement time series
• A simple and efficient simulation smoother for state space time series analysis
• Forecasting Using Principal Components From a Large Number of Predictors
• Tests of Conditional Predictive Ability

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