Long-term forecasting of El Niño events via dynamic factor simulations
DOI10.1016/j.jeconom.2019.05.004zbMath1456.62295MaRDI QIDQ2280599
Siem Jan Koopman, Mengheng Li, Rutger Lit, 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
Kalman filter; factor models; multivariate time series; dynamic models; unobserved components; simulation smoothing; long-term forecast; climate econometrics
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P12: Applications of statistics to environmental and related topics
86A08: Climate science and climate modeling
Uses Software
