Dr Scott Osprey FRMetS

Abstract:

The Hurst effect plays an important role in many areas such as physics, climate and finance. It describes the anomalous growth of range and constrains the behavior and predictability of these systems. The Hurst effect is frequently taken to be synonymous with Long-Range Dependence (LRD) and is typically assumed to be produced by a stationary stochastic process which has infinite memory. However, infinite memory appears to be at odds with the Markovian nature of most physical laws while the stationarity assumption lacks robustness. Here we use Lorenz's paradigmatic chaotic model to show that regime behavior can also cause the Hurst effect. By giving an alternative, parsimonious, explanation using nonstationary Markovian dynamics, our results question the common belief that the Hurst effect necessarily implies a stationary infinite memory process. We also demonstrate that our results can explain atmospheric variability without the infinite memory previously thought necessary and are consistent with climate model simulations.

Abstract:

Project: IPCC Assessment Report 5 and Coupled Model Intercomparison Project data sets - These data belong to two projects:1) to the Assessment Report No 5 of the International Panel on Climate Change (IPCC-AR5) and2) to the Coupled Model Intercomparison Project No 5 (CMIP5).CMIP5 is executed by the Program for Climate Model Diagnosis and Intercomparison (PCMDI) on behalf of the World Climate Research Programme (WCRP). Most of the data is replicated between the three data nodes at the World Data Centre for Climate (WDCC), the British Atmospheric Data Centre (BADC), and the PCMDI.The project embraces the simulations with about 30 climate models of about 20 institutes worldwide.