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The concept of exchangeability in ensemble forecasting

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Brocker,  J.
Max Planck Institute for the Physics of Complex Systems, Max Planck Society;

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Kantz,  H.
Max Planck Institute for the Physics of Complex Systems, Max Planck Society;

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Citation

Brocker, J., & Kantz, H. (2011). The concept of exchangeability in ensemble forecasting. Nonlinear Processes in Geophysics, 18(1), 1-5.


Cite as: http://hdl.handle.net/11858/00-001M-0000-0029-8DF5-3
Abstract
A set of random variables is exchangeable if its joint distribution function is invariant under permutation of the arguments. The concept of exchangeability is discussed, with a view towards potential application in evaluating ensemble forecasts. It is argued that the paradigm of ensembles being an independent draw from an underlying distribution function is probably too narrow; allowing ensemble members to be merely exchangeable might be a more versatile model. The question is discussed whether established methods of ensemble evaluation need alteration under this model, with reliability being given particular attention. It turns out that the standard methodology of rank histograms can still be applied. As a first application of the exchangeability concept, it is shown that the method of minimum spanning trees to evaluate the reliability of high dimensional ensembles is mathematically sound.