Multivariate probabilistic forecasting using ensemble Bayesian model averaging and copulas

@inproceedings{Mller2013MultivariatePF,
  title={Multivariate probabilistic forecasting using ensemble Bayesian model averaging and copulas},
  author={Annette K M{\o}ller and Alex Lenkoski and Thordis Linda Thorarinsdottir},
  year={2013}
}
We propose a method for post-processing an ensemble of multivariate forecasts in order to obtain a joint predictive distribution of weather. Our method utilizes existing univariate post-processing techniques, in this case ensemble Bayesian model averaging (BMA), to obtain estimated marginal distributions. However, implementing these methods individually offers no information regarding the joint distribution. To correct this, we propose the use of a Gaussian copula, which offers a simple… CONTINUE READING

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Ensemble Copula Coupling as a Multivariate Discrete Copula Approach

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Combining low-dimensional ensemble postprocessing with reordering methods

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