This article is published in Environmetrics as a special issue on Advances in Statistical Methods for Climate Analysis, edited by Peter Guttorp, University of Washington, Norwegian Computing Center, Stephan R. Sain, National Center for Atmospheric Research, Christopher K. Wikle, University of Missouri.
Special Issue Paper
Bayesian state space models with time-varying parameters: interannual temperature forecasting†
Article first published online: 15 JUL 2012
Copyright © 2012 John Wiley & Sons, Ltd.
Special Issue: Advances in Statistical Methods for Climate Analysis
Volume 23, Issue 5, pages 466–481, August 2012
How to Cite
Kim, Y. and Mark Berliner, L. (2012), Bayesian state space models with time-varying parameters: interannual temperature forecasting. Environmetrics, 23: 466–481. doi: 10.1002/env.2157
- Issue published online: 25 JUL 2012
- Article first published online: 15 JUL 2012
- Manuscript Accepted: 26 JUN 2012
- Manuscript Revised: 18 JUN 2012
- Manuscript Received: 1 JUN 2011
- NSF. Grant Numbers: DMS-01-39897, DMS-10-49064, ATM-07-24403
- atmospheric CO2;
- El Niño-Southern Oscillation;
- Markov chain Monte Carlo;
- model selection;
- temporal scales
State space models with time-varying parameters have been used to model processes displaying variations at a variety of temporal scales. We develop such models with the goal of forecasting hemispherically averaged surface temperatures at interannual time scales. To capture variations on several scales, we formulate hierarchical models for the main processes of interest conditional upon model coefficients and variances that are themselves modeled via state space models. These parameter models are allowed to have different and unknown time scales. Further, the use of covariates can aid in modeling these time-varying covariates. Bayesian inference, including model selection, for such models is discussed. Special issues in forecasting based on models with unknown future covariates are discussed and illustrated in forecasting hemispheric surface temperatures. Copyright © 2012 John Wiley & Sons, Ltd.